Trend-Following Backtester · Guide · backtest 한국어
etf · US
Eaton Vance Enhance Equity Income Fund II backtest
10 trend-following strategies were compared on the full daily history of Eaton Vance Enhance Equity Income Fund II. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.0%, MDD -7.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.3%, drawdown -63.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.0%, MDD -7.6%, Sharpe 0.31, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 1.0%, MDD -7.6%, 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=16, threshold=0.13 |
1.0% | -7.6% | 0.31 | 0.13 | 1.2x | 28 | 1% |
| SMA 크로스오버 fast=9, slow=250 |
0.6% | -34.1% | 0.11 | 0.02 | 1.1x | 54 | 56% |
| EMA 크로스오버 fast=14, slow=144 |
0.4% | -36.8% | 0.09 | 0.01 | 1.1x | 58 | 58% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
0.1% | -4.6% | 0.05 | 0.01 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=99, exitN=68 |
-0.6% | -41.2% | -0.01 | -0.01 | 0.9x | 34 | 43% |
| Supertrend period=23, mult=3.3 |
-1.3% | -57.9% | -0.01 | -0.02 | 0.8x | 145 | 67% |
| ADX / DI 방향성 period=24, threshold=36 |
-0.0% | -3.1% | -0.04 | -0.01 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=9, mult=4 |
-0.2% | -3.9% | -0.25 | -0.04 | 1.0x | 2 | 0% |
| MACD fast=18, slow=52, signal=12 |
-4.9% | -77.4% | -0.35 | -0.06 | 0.3x | 300 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-6.4% | -79.5% | -0.41 | -0.08 | 0.2x | 295 | 60% |
| Buy and hold | 0.3% | -63.6% | 0.13 | 0.01 | 1.1x | 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 16-day return is greater than 13%
- Sell — Sell when the 16-day return drops to 13% or below