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 볼린저 밴드 돌파 (CAGR 0.3%, MDD -3.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -13.4%, drawdown -84.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.8%, MDD -27.2%, Sharpe 0.47, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.9%, MDD -26.0%, exposure 32%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 57.1%p (CAGR 0.3%, MDD -3.5%, exposure 1%).
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=130, threshold=0.13 |
3.8% | -27.2% | 0.47 | 0.14 | 1.6x | 24 | 15% |
| SMA 크로스오버 fast=53, slow=186 |
3.9% | -26.0% | 0.41 | 0.15 | 1.6x | 16 | 32% |
| EMA 크로스오버 fast=17, slow=70 |
3.5% | -22.3% | 0.34 | 0.16 | 1.5x | 26 | 36% |
| Donchian 채널 돌파 entryN=77, exitN=50 |
1.8% | -27.6% | 0.22 | 0.07 | 1.2x | 10 | 29% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
0.3% | -3.5% | 0.18 | 0.09 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=36, threshold=32 |
0.1% | -3.9% | 0.08 | 0.04 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=7, mult=2.5 |
-0.4% | -25.7% | 0.02 | -0.01 | 1.0x | 30 | 21% |
| Supertrend period=11, mult=4.8 |
-3.3% | -53.0% | -0.16 | -0.06 | 0.7x | 34 | 37% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-8.4% | -69.6% | -0.39 | -0.12 | 0.3x | 84 | 47% |
| MACD fast=8, slow=23, signal=9 |
-16.1% | -88.9% | -0.72 | -0.18 | 0.1x | 278 | 50% |
| Buy and hold | -13.4% | -84.3% | -0.22 | -0.16 | 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 130-day return is greater than 13%
- Sell — Sell when the 130-day return drops to 13% or below