Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stellus Capital Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of Stellus Capital Investment Corporation. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.5%, MDD -5.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.0%, drawdown -69.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.5%, MDD -5.4%, Sharpe 0.24, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 1.2%, MDD -25.2%, exposure 17%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 64.3%p (CAGR 0.5%, MDD -5.4%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=25, mult=2.8 |
0.5% | -5.4% | 0.24 | 0.10 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=136, threshold=0.12 |
1.2% | -25.2% | 0.17 | 0.05 | 1.2x | 70 | 17% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
0.1% | -13.7% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=108, exitN=43 |
-0.4% | -32.1% | 0.04 | -0.01 | 1.0x | 20 | 32% |
| SMA 크로스오버 fast=60, slow=146 |
-1.9% | -48.3% | -0.03 | -0.04 | 0.8x | 28 | 47% |
| ADX / DI 방향성 period=28, threshold=29 |
-0.1% | -8.5% | -0.05 | -0.01 | 1.0x | 4 | 1% |
| EMA 크로스오버 fast=25, slow=75 |
-3.0% | -45.9% | -0.13 | -0.07 | 0.7x | 48 | 48% |
| Supertrend period=20, mult=3.7 |
-4.2% | -49.5% | -0.22 | -0.08 | 0.6x | 64 | 48% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.4% | -58.5% | -0.24 | -0.09 | 0.5x | 112 | 48% |
| MACD fast=13, slow=45, signal=14 |
-5.8% | -65.6% | -0.25 | -0.09 | 0.4x | 190 | 50% |
| Buy and hold | -5.0% | -69.6% | 0.02 | -0.07 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average