Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gladstone Capital Corporation backtest
10 trend-following strategies were compared on the full daily history of Gladstone Capital Corporation. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.8%, MDD -10.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.6%, drawdown -83.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -21.1%, Sharpe 0.30, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 62.4%p (CAGR 0.8%, MDD -10.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=74, k=3.5 |
2.0% | -21.1% | 0.30 | 0.10 | 1.6x | 12 | 8% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=12, mult=3.1 |
0.8% | -10.8% | 0.20 | 0.07 | 1.2x | 8 | 1% |
| Donchian 채널 돌파 entryN=11, exitN=46 |
-2.2% | -78.7% | 0.07 | -0.03 | 0.6x | 89 | 78% |
| ADX / DI 방향성 period=19, threshold=32 |
0.2% | -25.8% | 0.06 | 0.01 | 1.0x | 46 | 6% |
| MACD fast=17, slow=33, signal=40 |
-1.9% | -76.9% | 0.05 | -0.02 | 0.6x | 212 | 50% |
| ROC 모멘텀 n=196, threshold=0.1 |
-0.4% | -49.1% | 0.04 | -0.01 | 0.9x | 158 | 31% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.0% | -73.9% | 0.03 | -0.03 | 0.6x | 180 | 52% |
| EMA 크로스오버 fast=57, slow=93 |
-2.0% | -65.5% | -0.03 | -0.03 | 0.6x | 48 | 52% |
| SMA 크로스오버 fast=12, slow=133 |
-2.2% | -62.8% | -0.03 | -0.04 | 0.6x | 83 | 53% |
| Supertrend period=8, mult=3.1 |
-3.9% | -76.1% | -0.04 | -0.05 | 0.4x | 135 | 52% |
| Buy and hold | -2.6% | -83.5% | 0.12 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 74-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 74-day middle average