Trend-Following Backtester · Guide · backtest 한국어
equity · US
SLR Investment Corp. backtest
10 trend-following strategies were compared on the full daily history of SLR Investment Corp.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -1.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.2%, drawdown -70.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -6.4%, Sharpe 0.30, 5% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 1.1%, MDD -8.1%, exposure 0%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 64.2%p (CAGR 0.2%, MDD -1.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=3.4 |
0.9% | -6.4% | 0.30 | 0.14 | 1.2x | 6 | 5% |
| ROC 모멘텀 n=5, threshold=0.14 |
1.1% | -8.1% | 0.27 | 0.13 | 1.2x | 10 | 0% |
| ADX / DI 방향성 period=42, threshold=21 |
0.2% | -1.7% | 0.24 | 0.12 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=53, slow=168 |
-1.0% | -37.0% | -0.03 | -0.03 | 0.8x | 26 | 46% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=2.6 |
-0.6% | -24.5% | -0.12 | -0.02 | 0.9x | 16 | 3% |
| Supertrend period=17, mult=5 |
-2.7% | -49.6% | -0.14 | -0.06 | 0.6x | 42 | 47% |
| Donchian 채널 돌파 entryN=13, exitN=44 |
-4.9% | -66.8% | -0.21 | -0.07 | 0.4x | 73 | 75% |
| EMA 크로스오버 fast=45, slow=147 |
-4.2% | -61.1% | -0.32 | -0.07 | 0.5x | 36 | 46% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-6.0% | -72.2% | -0.35 | -0.08 | 0.4x | 214 | 50% |
| MACD fast=18, slow=22, signal=6 |
-8.4% | -80.2% | -0.54 | -0.10 | 0.2x | 352 | 51% |
| Buy and hold | -2.2% | -70.6% | 0.05 | -0.03 | 0.7x | 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 49-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 49-day middle average