Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carlyle Secured Lending, Inc. backtest
10 trend-following strategies were compared on the full daily history of Carlyle Secured Lending, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.9%, MDD -14.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.4%, drawdown -78.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.6%, MDD -15.2%, Sharpe 0.34, 13% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 62.9%p (CAGR 0.9%, MDD -14.2%, exposure 13%).
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=137, threshold=0.17 |
2.6% | -15.2% | 0.34 | 0.17 | 1.3x | 28 | 13% |
| 볼린저 밴드 돌파 n=71, k=3 |
1.6% | -15.9% | 0.26 | 0.10 | 1.2x | 8 | 10% |
| SMA 크로스오버 fast=47, slow=134 |
1.7% | -25.9% | 0.19 | 0.07 | 1.2x | 12 | 41% |
| Donchian 채널 돌파 entryN=7, exitN=46 |
1.4% | -38.7% | 0.17 | 0.04 | 1.1x | 40 | 81% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=27, mult=3 |
0.9% | -14.2% | 0.15 | 0.06 | 1.1x | 14 | 13% |
| Supertrend period=25, mult=2.5 |
0.7% | -27.6% | 0.12 | 0.03 | 1.1x | 64 | 49% |
| EMA 크로스오버 fast=49, slow=161 |
0.2% | -32.7% | 0.08 | 0.01 | 1.0x | 10 | 40% |
| ADX / DI 방향성 period=14, threshold=24 |
0.2% | -22.2% | 0.07 | 0.01 | 1.0x | 64 | 17% |
| MACD fast=16, slow=27, signal=13 |
-3.1% | -42.9% | -0.07 | -0.07 | 0.7x | 142 | 48% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-3.3% | -49.6% | -0.08 | -0.07 | 0.7x | 126 | 50% |
| Buy and hold | -6.4% | -78.1% | -0.02 | -0.08 | 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 137-day return is greater than 17%
- Sell — Sell when the 137-day return drops to 17% or below