Trend-Following Backtester · Guide · backtest 한국어
equity · US
Main Street Capital Corporation backtest
10 trend-following strategies were compared on the full daily history of Main Street Capital Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.2%, MDD -31.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.1%, drawdown -65.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -31.5%, Sharpe 0.48, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 7.2%, MDD -31.5%, exposure 64%).
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=82, slow=144 |
7.2% | -31.5% | 0.48 | 0.23 | 3.7x | 34 | 64% |
| EMA 크로스오버 fast=45, slow=177 |
4.1% | -41.7% | 0.31 | 0.10 | 2.1x | 32 | 67% |
| Donchian 채널 돌파 entryN=92, exitN=74 |
3.3% | -40.4% | 0.28 | 0.08 | 1.8x | 26 | 54% |
| ADX / DI 방향성 period=28, threshold=32 |
0.5% | -8.3% | 0.18 | 0.06 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=136, threshold=-0.02 |
1.6% | -48.8% | 0.18 | 0.03 | 1.3x | 134 | 69% |
| Supertrend period=23, mult=4.1 |
1.0% | -46.3% | 0.14 | 0.02 | 1.2x | 79 | 63% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.8% | -52.7% | 0.06 | -0.01 | 0.9x | 153 | 59% |
| MACD fast=19, slow=53, signal=16 |
-0.7% | -49.4% | 0.05 | -0.01 | 0.9x | 207 | 52% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=17, mult=3.8 |
-0.4% | -36.3% | -0.00 | -0.01 | 0.9x | 38 | 16% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
-0.3% | -23.2% | -0.03 | -0.01 | 0.9x | 8 | 3% |
| Buy and hold | 7.1% | -65.0% | 0.38 | 0.11 | 3.6x | 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 82-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 82-day average falls below the 144-day average