Trend-Following Backtester · Guide · backtest 한국어
equity · US
New Mountain Finance Corporation backtest
10 trend-following strategies were compared on the full daily history of New Mountain Finance Corporation. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -3.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.1%, drawdown -67.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.6%, MDD -9.5%, Sharpe 0.37, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 58.3%p (CAGR 0.1%, MDD -3.1%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=142, threshold=0.22 |
1.6% | -9.5% | 0.37 | 0.17 | 1.3x | 18 | 4% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=26, mult=3.3 |
0.6% | -5.6% | 0.27 | 0.10 | 1.1x | 4 | 2% |
| ADX / DI 방향성 period=22, threshold=39 |
0.1% | -3.1% | 0.12 | 0.04 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
0.2% | -6.8% | 0.10 | 0.03 | 1.0x | 8 | 1% |
| SMA 크로스오버 fast=47, slow=196 |
-2.0% | -48.7% | -0.12 | -0.04 | 0.7x | 28 | 44% |
| Donchian 채널 돌파 entryN=98, exitN=67 |
-1.5% | -29.5% | -0.12 | -0.05 | 0.8x | 20 | 35% |
| Supertrend period=23, mult=3.9 |
-3.5% | -61.6% | -0.14 | -0.06 | 0.6x | 56 | 58% |
| EMA 크로스오버 fast=65, slow=161 |
-2.8% | -45.1% | -0.21 | -0.06 | 0.6x | 24 | 45% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-8.2% | -73.2% | -0.57 | -0.11 | 0.3x | 124 | 54% |
| MACD fast=18, slow=40, signal=17 |
-9.6% | -79.8% | -0.70 | -0.12 | 0.2x | 209 | 49% |
| Buy and hold | -4.1% | -67.8% | -0.05 | -0.06 | 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 142-day return is greater than 22%
- Sell — Sell when the 142-day return drops to 22% or below