Trend-Following Backtester · Guide · backtest 한국어
equity · US
Crescent Capital BDC, Inc. backtest
10 trend-following strategies were compared on the full daily history of Crescent Capital BDC, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.5%, MDD -5.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.1%, drawdown -63.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -15.9%, Sharpe 0.62, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 1.5%, MDD -5.6%, exposure 5%).
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=53, slow=180 |
8.1% | -15.9% | 0.62 | 0.51 | 1.7x | 4 | 46% |
| ROC 모멘텀 n=166, threshold=0.02 |
7.3% | -16.7% | 0.59 | 0.44 | 1.6x | 20 | 42% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=2.9 |
1.5% | -5.6% | 0.46 | 0.26 | 1.1x | 4 | 5% |
| EMA 크로스오버 fast=55, slow=186 |
5.4% | -19.0% | 0.45 | 0.29 | 1.4x | 4 | 45% |
| Donchian 채널 돌파 entryN=79, exitN=101 |
5.7% | -28.4% | 0.43 | 0.20 | 1.4x | 4 | 54% |
| ADX / DI 방향성 period=38, threshold=23 |
1.4% | -12.8% | 0.27 | 0.11 | 1.1x | 2 | 4% |
| 볼린저 밴드 돌파 n=49, k=2.6 |
2.0% | -16.2% | 0.27 | 0.13 | 1.1x | 12 | 16% |
| Parabolic SAR step=0.015, maxStep=0.36 |
0.1% | -36.6% | 0.11 | 0.00 | 1.0x | 111 | 52% |
| Supertrend period=17, mult=1.6 |
0.1% | -40.1% | 0.11 | 0.00 | 1.0x | 80 | 49% |
| MACD fast=10, slow=26, signal=7 |
-0.3% | -37.3% | 0.09 | -0.01 | 1.0x | 127 | 53% |
| Buy and hold | -6.1% | -63.7% | -0.01 | -0.10 | 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 53-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 53-day average falls below the 180-day average