Trend-Following Backtester · Guide · backtest 한국어
etf · US
Eaton Vance Tax-Managed Diversified Equity Income Fund backtest
10 trend-following strategies were compared on the full daily history of Eaton Vance Tax-Managed Diversified Equity Income Fund. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -3.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.7%, drawdown -64.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.8%, MDD -32.5%, Sharpe 0.13, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 0.0%, MDD -3.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=15, slow=191 |
0.8% | -32.5% | 0.13 | 0.03 | 1.2x | 38 | 53% |
| ROC 모멘텀 n=50, threshold=0.28 |
0.1% | -8.4% | 0.07 | 0.01 | 1.0x | 8 | 0% |
| EMA 크로스오버 fast=26, slow=132 |
-0.3% | -30.5% | 0.03 | -0.01 | 1.0x | 38 | 53% |
| ADX / DI 방향성 period=18, threshold=33 |
0.0% | -3.7% | 0.01 | 0.00 | 1.0x | 8 | 1% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
-0.4% | -20.5% | -0.07 | -0.02 | 0.9x | 16 | 9% |
| Donchian 채널 돌파 entryN=58, exitN=24 |
-1.1% | -32.0% | -0.08 | -0.03 | 0.8x | 56 | 40% |
| Supertrend period=19, mult=4.7 |
-2.1% | -50.7% | -0.14 | -0.04 | 0.7x | 68 | 57% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=4 |
-0.2% | -3.7% | -0.14 | -0.04 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-7.3% | -80.7% | -0.48 | -0.09 | 0.2x | 169 | 57% |
| MACD fast=19, slow=59, signal=14 |
-9.5% | -87.8% | -0.71 | -0.11 | 0.1x | 248 | 51% |
| Buy and hold | -1.7% | -64.6% | 0.03 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 15-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 15-day average falls below the 191-day average