Trend-Following Backtester · Guide · backtest 한국어
equity · US
Goldman Sachs BDC, Inc. backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs BDC, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.2%, MDD -7.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.2%, drawdown -67.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -9.8%, Sharpe 0.40, 3% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 57.3%p (CAGR 1.2%, MDD -7.0%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=3.1 |
1.6% | -9.8% | 0.40 | 0.16 | 1.2x | 8 | 3% |
| ROC 모멘텀 n=30, threshold=0.2 |
1.2% | -7.0% | 0.32 | 0.17 | 1.1x | 18 | 1% |
| ADX / DI 방향성 period=23, threshold=27 |
0.1% | -9.8% | 0.04 | 0.01 | 1.0x | 14 | 5% |
| Donchian 채널 돌파 entryN=153, exitN=58 |
-0.7% | -27.1% | -0.05 | -0.03 | 0.9x | 10 | 21% |
| SMA 크로스오버 fast=32, slow=163 |
-1.6% | -44.5% | -0.07 | -0.04 | 0.8x | 14 | 36% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=3.9 |
-0.2% | -8.8% | -0.07 | -0.03 | 1.0x | 6 | 3% |
| Supertrend period=28, mult=3.4 |
-3.1% | -48.8% | -0.07 | -0.06 | 0.7x | 54 | 51% |
| EMA 크로스오버 fast=15, slow=273 |
-1.3% | -32.2% | -0.09 | -0.04 | 0.9x | 18 | 31% |
| MACD fast=17, slow=34, signal=19 |
-9.3% | -67.5% | -0.57 | -0.14 | 0.3x | 140 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-10.8% | -73.4% | -0.63 | -0.15 | 0.3x | 197 | 49% |
| Buy and hold | -7.2% | -67.0% | -0.10 | -0.11 | 0.4x | 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 22-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 22-day middle average