Trend-Following Backtester · Guide · backtest 한국어
equity · US
Saratoga Investment Corp New backtest
10 trend-following strategies were compared on the full daily history of Saratoga Investment Corp New. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -12.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.8%, drawdown -94.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.5%, MDD -35.2%, Sharpe 0.35, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 0.1%, MDD -12.1%, 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=20, threshold=0.18 |
4.5% | -35.2% | 0.35 | 0.13 | 2.3x | 54 | 3% |
| Donchian 채널 돌파 entryN=111, exitN=65 |
-0.4% | -36.0% | 0.05 | -0.01 | 0.9x | 20 | 32% |
| ADX / DI 방향성 period=23, threshold=38 |
0.1% | -12.1% | 0.04 | 0.01 | 1.0x | 4 | 1% |
| SMA 크로스오버 fast=14, slow=34 |
-3.2% | -75.7% | -0.00 | -0.04 | 0.5x | 180 | 51% |
| 볼린저 밴드 돌파 n=31, k=3.3 |
-1.5% | -44.5% | -0.09 | -0.03 | 0.7x | 28 | 7% |
| EMA 크로스오버 fast=17, slow=35 |
-5.4% | -70.6% | -0.12 | -0.08 | 0.3x | 132 | 51% |
| MACD fast=19, slow=53, signal=9 |
-8.4% | -84.8% | -0.15 | -0.10 | 0.2x | 290 | 51% |
| Supertrend period=25, mult=3.5 |
-7.6% | -81.8% | -0.18 | -0.09 | 0.2x | 102 | 48% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-11.1% | -90.0% | -0.25 | -0.12 | 0.1x | 341 | 53% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=25, mult=2.5 |
-6.2% | -74.7% | -0.27 | -0.08 | 0.3x | 76 | 25% |
| Buy and hold | -9.8% | -94.0% | 0.02 | -0.10 | 0.1x | 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 20-day return is greater than 18%
- Sell — Sell when the 20-day return drops to 18% or below