Trend-Following Backtester · Guide · backtest 한국어
etf · US
Royce Small-Cap Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Royce Small-Cap Trust, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.9%, MDD -25.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.6%, drawdown -79.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.9%, MDD -25.8%, Sharpe 0.28, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 53.2%p (CAGR 2.9%, MDD -25.8%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=113, exitN=78 |
2.9% | -25.8% | 0.28 | 0.11 | 3.1x | 49 | 52% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
0.4% | -7.1% | 0.21 | 0.06 | 1.2x | 6 | 1% |
| EMA 크로스오버 fast=46, slow=193 |
1.7% | -37.4% | 0.19 | 0.05 | 2.0x | 47 | 60% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.11 |
1.7% | -68.5% | 0.19 | 0.02 | 2.0x | 85 | 99% |
| Supertrend period=14, mult=5 |
1.5% | -49.8% | 0.18 | 0.03 | 1.8x | 118 | 55% |
| SMA 크로스오버 fast=42, slow=85 |
1.5% | -49.7% | 0.18 | 0.03 | 1.8x | 125 | 57% |
| ADX / DI 방향성 period=32, threshold=30 |
0.4% | -12.9% | 0.15 | 0.03 | 1.2x | 12 | 2% |
| Parabolic SAR step=0.01, maxStep=0.08 |
0.5% | -43.8% | 0.11 | 0.01 | 1.2x | 458 | 56% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=9, mult=1.5 |
-0.8% | -40.2% | -0.04 | -0.02 | 0.7x | 334 | 25% |
| MACD fast=24, slow=56, signal=19 |
-2.0% | -72.2% | -0.07 | -0.03 | 0.4x | 380 | 49% |
| Buy and hold | 1.6% | -79.1% | 0.18 | 0.02 | 1.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 113 days
- Sell — Sell when price breaks below the lowest low of the last 78 days