Trend-Following Backtester · Guide · backtest 한국어
equity · US
PennantPark Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of PennantPark Investment Corporation. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -12.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.4%, drawdown -87.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.6%, MDD -33.6%, Sharpe 0.38, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 1.5%, MDD -12.6%, exposure 2%).
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=87, threshold=0.17 |
4.6% | -33.6% | 0.38 | 0.14 | 2.4x | 84 | 12% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=21, mult=2.5 |
4.4% | -36.6% | 0.37 | 0.12 | 2.3x | 46 | 25% |
| ADX / DI 방향성 period=35, threshold=28 |
1.5% | -12.6% | 0.34 | 0.12 | 1.3x | 2 | 2% |
| SMA 크로스오버 fast=24, slow=180 |
4.5% | -36.0% | 0.33 | 0.12 | 2.3x | 26 | 45% |
| EMA 크로스오버 fast=42, slow=134 |
3.9% | -37.0% | 0.30 | 0.11 | 2.1x | 28 | 45% |
| Donchian 채널 돌파 entryN=85, exitN=37 |
3.6% | -45.6% | 0.30 | 0.08 | 2.0x | 34 | 30% |
| Supertrend period=16, mult=4.4 |
3.5% | -60.5% | 0.27 | 0.06 | 1.9x | 56 | 47% |
| 볼린저 밴드 돌파 n=43, k=2.2 |
1.9% | -43.0% | 0.20 | 0.05 | 1.5x | 64 | 24% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.0% | -68.1% | -0.03 | -0.06 | 0.5x | 160 | 50% |
| MACD fast=18, slow=33, signal=18 |
-4.4% | -82.8% | -0.04 | -0.05 | 0.4x | 233 | 50% |
| Buy and hold | -7.4% | -87.0% | 0.00 | -0.08 | 0.2x | 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 87-day return is greater than 17%
- Sell — Sell when the 87-day return drops to 17% or below