Trend-Following Backtester · Guide · backtest 한국어
equity · US
Prospect Capital Corporation backtest
10 trend-following strategies were compared on the full daily history of Prospect Capital Corporation. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -10.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.5%, drawdown -88.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -10.3%, Sharpe 0.38, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 78.5%p (CAGR 1.6%, MDD -10.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=26 |
1.6% | -10.3% | 0.38 | 0.15 | 1.4x | 10 | 2% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
1.2% | -11.0% | 0.31 | 0.11 | 1.3x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=27, mult=3.8 |
1.1% | -24.7% | 0.19 | 0.04 | 1.3x | 24 | 9% |
| Donchian 채널 돌파 entryN=145, exitN=41 |
1.3% | -24.1% | 0.18 | 0.06 | 1.3x | 20 | 19% |
| SMA 크로스오버 fast=29, slow=241 |
1.0% | -41.5% | 0.14 | 0.02 | 1.2x | 20 | 34% |
| EMA 크로스오버 fast=53, slow=180 |
0.6% | -41.4% | 0.11 | 0.02 | 1.1x | 18 | 33% |
| ROC 모멘텀 n=81, threshold=0.14 |
-0.9% | -39.0% | -0.06 | -0.02 | 0.8x | 140 | 11% |
| Supertrend period=12, mult=5 |
-3.0% | -63.4% | -0.09 | -0.05 | 0.5x | 62 | 42% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-9.7% | -91.0% | -0.37 | -0.11 | 0.1x | 164 | 51% |
| MACD fast=15, slow=28, signal=14 |
-13.6% | -96.5% | -0.60 | -0.14 | 0.0x | 332 | 51% |
| Buy and hold | -8.5% | -88.8% | -0.08 | -0.10 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)