Trend-Following Backtester · Guide · backtest 한국어
etf · US
Eaton Vance Tax-Managed Global Diversified Equity Income Fund backtest
10 trend-following strategies were compared on the full daily history of Eaton Vance Tax-Managed Global Diversified Equity Income Fund. 8 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 -3.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.7%, drawdown -76.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.4%, MDD -23.2%, Sharpe 0.28, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR -0.0%, MDD -3.3%, 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=135, threshold=0.14 |
1.4% | -23.2% | 0.28 | 0.06 | 1.3x | 38 | 10% |
| EMA 크로스오버 fast=47, slow=164 |
-0.1% | -45.4% | 0.04 | -0.00 | 1.0x | 27 | 48% |
| SMA 크로스오버 fast=84, slow=186 |
-0.7% | -58.9% | 0.02 | -0.01 | 0.9x | 27 | 49% |
| ADX / DI 방향성 period=22, threshold=27 |
-0.0% | -3.3% | -0.02 | -0.01 | 1.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=48, k=3.2 |
-0.1% | -4.2% | -0.06 | -0.01 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=3.7 |
-0.8% | -33.7% | -0.11 | -0.02 | 0.9x | 34 | 16% |
| Donchian 채널 돌파 entryN=100, exitN=38 |
-1.6% | -49.3% | -0.15 | -0.03 | 0.7x | 43 | 33% |
| Supertrend period=11, mult=4.2 |
-3.5% | -61.6% | -0.26 | -0.06 | 0.5x | 85 | 48% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-8.0% | -80.5% | -0.54 | -0.10 | 0.2x | 166 | 58% |
| MACD fast=18, slow=29, signal=17 |
-9.5% | -85.3% | -0.67 | -0.11 | 0.1x | 278 | 51% |
| Buy and hold | -3.7% | -76.1% | -0.04 | -0.05 | 0.5x | 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 135-day return is greater than 14%
- Sell — Sell when the 135-day return drops to 14% or below