Trend-Following Backtester · Guide · backtest 한국어
equity · US
Barings BDC, Inc. backtest
10 trend-following strategies were compared on the full daily history of Barings BDC, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.1%, drawdown -82.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.5%, MDD -55.9%, Sharpe 0.17, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 0.0%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=23, slow=167 |
1.5% | -55.9% | 0.17 | 0.03 | 1.3x | 42 | 50% |
| ROC 모멘텀 n=5, threshold=0.14 |
0.9% | -28.0% | 0.16 | 0.03 | 1.2x | 26 | 1% |
| ADX / DI 방향성 period=31, threshold=36 |
0.0% | -0.5% | 0.13 | 0.06 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=114, exitN=81 |
0.6% | -37.6% | 0.12 | 0.02 | 1.1x | 16 | 40% |
| EMA 크로스오버 fast=65, slow=141 |
0.3% | -51.2% | 0.11 | 0.01 | 1.1x | 26 | 43% |
| 볼린저 밴드 돌파 n=50, k=3.1 |
-0.4% | -29.9% | 0.00 | -0.01 | 0.9x | 24 | 10% |
| Supertrend period=12, mult=2.9 |
-3.9% | -64.1% | -0.07 | -0.06 | 0.5x | 123 | 56% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=10, mult=3.7 |
-0.5% | -10.8% | -0.27 | -0.05 | 0.9x | 4 | 0% |
| MACD fast=31, slow=55, signal=30 |
-7.6% | -78.4% | -0.29 | -0.10 | 0.2x | 152 | 48% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-9.6% | -86.0% | -0.37 | -0.11 | 0.1x | 159 | 54% |
| Buy and hold | -3.1% | -82.4% | 0.07 | -0.04 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 23-day average price crosses above the 167-day average
- Sell — Sell (to cash) when the 23-day average falls below the 167-day average