Trend-Following Backtester · Guide · backtest 한국어
equity · US
PennantPark Floating Rate Capital Ltd. backtest
10 trend-following strategies were compared on the full daily history of PennantPark Floating Rate Capital Ltd.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -5.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.2%, drawdown -74.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.2%, MDD -12.5%, Sharpe 0.56, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 62.3%p (CAGR 0.7%, MDD -5.2%, 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=12, threshold=0.14 |
4.2% | -12.5% | 0.56 | 0.34 | 1.9x | 14 | 1% |
| ADX / DI 방향성 period=38, threshold=23 |
0.7% | -5.2% | 0.32 | 0.14 | 1.1x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=4 |
0.9% | -7.5% | 0.30 | 0.13 | 1.2x | 6 | 4% |
| EMA 크로스오버 fast=87, slow=241 |
0.6% | -28.3% | 0.11 | 0.02 | 1.1x | 10 | 45% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
0.3% | -12.3% | 0.11 | 0.03 | 1.1x | 8 | 4% |
| Supertrend period=33, mult=4.5 |
0.2% | -49.4% | 0.09 | 0.00 | 1.0x | 44 | 59% |
| SMA 크로스오버 fast=20, slow=137 |
-0.3% | -37.7% | 0.03 | -0.01 | 1.0x | 34 | 50% |
| Donchian 채널 돌파 entryN=87, exitN=58 |
-0.4% | -34.3% | 0.01 | -0.01 | 0.9x | 22 | 42% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-4.3% | -58.1% | -0.22 | -0.07 | 0.5x | 182 | 53% |
| MACD fast=15, slow=29, signal=12 |
-6.6% | -68.1% | -0.36 | -0.10 | 0.4x | 249 | 52% |
| Buy and hold | -4.2% | -74.8% | -0.04 | -0.06 | 0.5x | 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 14%
- Sell — Sell when the 12-day return drops to 14% or below