Trend-Following Backtester · Guide · backtest 한국어
equity · US
Energy Vault Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Energy Vault Holdings, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.3%, MDD -40.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.5%, drawdown -97.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.2%, MDD -54.5%, Sharpe 0.80, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 55.7%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 23.3%, MDD -40.5%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=55, exitN=18 |
35.2% | -54.5% | 0.80 | 0.65 | 5.0x | 12 | 29% |
| ADX / DI 방향성 period=25, threshold=31 |
23.3% | -40.5% | 0.73 | 0.57 | 3.1x | 8 | 22% |
| Parabolic SAR step=0.05, maxStep=0.14 |
26.0% | -69.1% | 0.67 | 0.38 | 3.4x | 146 | 44% |
| MACD fast=12, slow=42, signal=18 |
18.4% | -82.2% | 0.60 | 0.22 | 2.5x | 56 | 50% |
| 볼린저 밴드 돌파 n=45, k=2.9 |
19.6% | -53.0% | 0.60 | 0.37 | 2.6x | 16 | 25% |
| EMA 크로스오버 fast=9, slow=50 |
13.0% | -82.5% | 0.52 | 0.16 | 1.9x | 30 | 41% |
| SMA 크로스오버 fast=14, slow=199 |
7.5% | -70.8% | 0.44 | 0.11 | 1.5x | 8 | 35% |
| ROC 모멘텀 n=81, threshold=0.09 |
5.2% | -71.3% | 0.40 | 0.07 | 1.3x | 26 | 29% |
| Supertrend period=11, mult=1.5 |
0.7% | -81.3% | 0.36 | 0.01 | 1.0x | 84 | 43% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=3.3 |
4.3% | -62.9% | 0.33 | 0.07 | 1.3x | 16 | 19% |
| Buy and hold | -20.5% | -97.1% | 0.29 | -0.21 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 55 days
- Sell — Sell when price breaks below the lowest low of the last 18 days