Trend-Following Backtester · Guide · backtest 한국어
etf · US
Eagle Point Credit Company backtest
10 trend-following strategies were compared on the full daily history of Eagle Point Credit Company. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -3.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -12.7%, drawdown -84.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.2%, MDD -17.5%, Sharpe 0.51, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 66.6%p (CAGR 0.0%, MDD -3.8%, exposure 2%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=138, threshold=0.12 |
4.2% | -17.5% | 0.51 | 0.24 | 1.6x | 24 | 16% |
| SMA 크로스오버 fast=44, slow=133 |
3.4% | -24.6% | 0.33 | 0.14 | 1.5x | 16 | 37% |
| EMA 크로스오버 fast=31, slow=52 |
3.4% | -25.6% | 0.32 | 0.13 | 1.5x | 22 | 37% |
| Donchian 채널 돌파 entryN=83, exitN=52 |
1.8% | -27.6% | 0.22 | 0.07 | 1.2x | 10 | 29% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
0.3% | -11.5% | 0.12 | 0.03 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=35, threshold=38 |
0.0% | -3.8% | 0.02 | 0.01 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=2.6 |
-1.9% | -35.0% | -0.14 | -0.05 | 0.8x | 34 | 20% |
| Supertrend period=11, mult=4.2 |
-4.3% | -53.2% | -0.21 | -0.08 | 0.6x | 44 | 45% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-8.2% | -69.6% | -0.37 | -0.12 | 0.4x | 83 | 46% |
| MACD fast=9, slow=38, signal=7 |
-16.6% | -90.2% | -0.74 | -0.18 | 0.1x | 267 | 50% |
| Buy and hold | -12.7% | -84.1% | -0.20 | -0.15 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 138-day return is greater than 12%
- Sell — Sell when the 138-day return drops to 12% or below