Trend-Following Backtester · Guide · backtest 한국어
equity · US
Golub Capital BDC, Inc. backtest
10 trend-following strategies were compared on the full daily history of Golub Capital BDC, Inc.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.4%, MDD -1.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.7%, drawdown -53.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -1.5%, Sharpe 0.35, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR 0.4%, MDD -1.5%, exposure 0%).
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=14, threshold=0.14 |
0.4% | -1.5% | 0.35 | 0.27 | 1.1x | 8 | 0% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
0.3% | -8.0% | 0.09 | 0.04 | 1.1x | 6 | 4% |
| SMA 크로스오버 fast=32, slow=100 |
-0.2% | -40.4% | 0.05 | -0.00 | 1.0x | 52 | 53% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=3.8 |
-0.0% | -11.5% | 0.03 | -0.00 | 1.0x | 8 | 4% |
| ADX / DI 방향성 period=37, threshold=21 |
-0.0% | -11.9% | 0.02 | -0.00 | 1.0x | 6 | 2% |
| Donchian 채널 돌파 entryN=102, exitN=31 |
-0.4% | -32.8% | 0.01 | -0.01 | 0.9x | 26 | 27% |
| EMA 크로스오버 fast=49, slow=98 |
-1.8% | -39.2% | -0.09 | -0.05 | 0.7x | 36 | 50% |
| Supertrend period=27, mult=4.8 |
-4.1% | -63.4% | -0.26 | -0.06 | 0.5x | 48 | 54% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-6.0% | -69.9% | -0.41 | -0.09 | 0.4x | 139 | 53% |
| MACD fast=19, slow=53, signal=18 |
-8.8% | -81.3% | -0.68 | -0.11 | 0.2x | 195 | 52% |
| Buy and hold | -0.7% | -53.1% | 0.07 | -0.01 | 0.9x | 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 14-day return is greater than 14%
- Sell — Sell when the 14-day return drops to 14% or below