Trend-Following Backtester · Guide · backtest 한국어
equity · US
BlackRock TCP Capital Corp. backtest
10 trend-following strategies were compared on the full daily history of BlackRock TCP Capital Corp.. 10 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 -3.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.0%, drawdown -82.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.8%, MDD -12.4%, Sharpe 0.44, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 70.5%p (CAGR -0.1%, MDD -3.0%, 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=12, threshold=0.1 |
2.8% | -12.4% | 0.44 | 0.23 | 1.5x | 40 | 3% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=15, mult=1.7 |
1.8% | -14.9% | 0.30 | 0.12 | 1.3x | 46 | 10% |
| EMA 크로스오버 fast=74, slow=248 |
-0.1% | -25.8% | 0.04 | -0.00 | 1.0x | 10 | 30% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
0.0% | -11.7% | 0.03 | 0.00 | 1.0x | 12 | 7% |
| MACD fast=9, slow=26, signal=15 |
-2.1% | -58.9% | -0.04 | -0.03 | 0.7x | 229 | 52% |
| Donchian 채널 돌파 entryN=145, exitN=76 |
-0.9% | -29.3% | -0.08 | -0.03 | 0.9x | 12 | 20% |
| ADX / DI 방향성 period=35, threshold=27 |
-0.1% | -3.0% | -0.08 | -0.03 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.0% | -65.2% | -0.15 | -0.06 | 0.6x | 188 | 52% |
| SMA 크로스오버 fast=10, slow=142 |
-2.9% | -47.2% | -0.19 | -0.06 | 0.7x | 46 | 41% |
| Supertrend period=26, mult=2.9 |
-4.9% | -61.3% | -0.22 | -0.08 | 0.5x | 88 | 46% |
| Buy and hold | -10.0% | -82.9% | -0.18 | -0.12 | 0.2x | 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 12-day return is greater than 10%
- Sell — Sell when the 12-day return drops to 10% or below