Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gladstone Investment Corporation - Business Development Company backtest
10 trend-following strategies were compared on the full daily history of Gladstone Investment Corporation - Business Development Company. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.3%, MDD -21.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.3%, drawdown -85.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.3%, MDD -21.2%, Sharpe 0.21, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 63.8%p (CAGR 1.3%, MDD -21.2%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=14, mult=3.4 |
1.3% | -21.2% | 0.21 | 0.06 | 1.3x | 32 | 10% |
| SMA 크로스오버 fast=54, slow=113 |
1.0% | -45.0% | 0.15 | 0.02 | 1.2x | 53 | 48% |
| 볼린저 밴드 돌파 n=39, k=3.2 |
0.7% | -27.9% | 0.14 | 0.02 | 1.2x | 12 | 5% |
| EMA 크로스오버 fast=36, slow=139 |
-0.4% | -48.6% | 0.07 | -0.01 | 0.9x | 53 | 51% |
| Donchian 채널 돌파 entryN=81, exitN=52 |
-0.5% | -50.1% | 0.06 | -0.01 | 0.9x | 39 | 43% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.1% | -82.4% | -0.04 | -0.05 | 0.4x | 163 | 52% |
| ADX / DI 방향성 period=19, threshold=38 |
-0.2% | -13.3% | -0.06 | -0.02 | 1.0x | 12 | 2% |
| MACD fast=21, slow=51, signal=19 |
-5.3% | -80.0% | -0.07 | -0.07 | 0.3x | 219 | 50% |
| Supertrend period=22, mult=2.7 |
-6.3% | -78.5% | -0.08 | -0.08 | 0.3x | 153 | 53% |
| ROC 모멘텀 n=17, threshold=0.12 |
-5.0% | -69.0% | -0.29 | -0.07 | 0.3x | 130 | 4% |
| Buy and hold | 0.3% | -85.0% | 0.21 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 34-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 34-day average