Trend-Following Backtester · Guide · backtest 한국어
equity · US
FS KKR Capital Corp. backtest
10 trend-following strategies were compared on the full daily history of FS KKR Capital Corp.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -7.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.2%, drawdown -78.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.2%, MDD -21.6%, Sharpe 0.19, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR -0.2%, MDD -7.7%, 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=132, threshold=0.12 |
1.2% | -21.6% | 0.19 | 0.05 | 1.2x | 54 | 12% |
| 볼린저 밴드 돌파 n=22, k=2.9 |
0.1% | -18.2% | 0.05 | 0.01 | 1.0x | 17 | 6% |
| ADX / DI 방향성 period=21, threshold=28 |
-0.2% | -7.7% | -0.07 | -0.03 | 1.0x | 14 | 1% |
| Donchian 채널 돌파 entryN=119, exitN=35 |
-1.6% | -30.6% | -0.15 | -0.05 | 0.8x | 16 | 18% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=10, mult=2.2 |
-1.9% | -32.6% | -0.18 | -0.06 | 0.8x | 43 | 11% |
| Supertrend period=8, mult=2.2 |
-4.1% | -51.2% | -0.20 | -0.08 | 0.6x | 125 | 48% |
| SMA 크로스오버 fast=36, slow=175 |
-3.8% | -45.7% | -0.21 | -0.08 | 0.6x | 22 | 39% |
| MACD fast=18, slow=41, signal=6 |
-6.0% | -57.6% | -0.27 | -0.10 | 0.5x | 209 | 52% |
| EMA 크로스오버 fast=59, slow=186 |
-4.3% | -43.3% | -0.29 | -0.10 | 0.6x | 18 | 35% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-10.1% | -76.8% | -0.54 | -0.13 | 0.3x | 252 | 53% |
| Buy and hold | -9.2% | -78.1% | -0.23 | -0.12 | 0.3x | 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 132-day return is greater than 12%
- Sell — Sell when the 132-day return drops to 12% or below