Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sixth Street Specialty Lending, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sixth Street Specialty Lending, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.3%, drawdown -52.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -6.8%, Sharpe 0.23, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.9%, MDD -38.8%, exposure 54%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=3.5 |
0.6% | -6.8% | 0.23 | 0.09 | 1.1x | 4 | 2% |
| ADX / DI 방향성 period=32, threshold=34 |
0.9% | -9.0% | 0.22 | 0.10 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=15, mult=4 |
0.4% | -4.0% | 0.22 | 0.09 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=52, slow=99 |
0.9% | -38.8% | 0.14 | 0.02 | 1.1x | 30 | 54% |
| ROC 모멘텀 n=133, threshold=-0.04 |
0.3% | -29.8% | 0.09 | 0.01 | 1.0x | 73 | 67% |
| Donchian 채널 돌파 entryN=69, exitN=55 |
-0.1% | -27.5% | 0.04 | -0.00 | 1.0x | 20 | 43% |
| EMA 크로스오버 fast=9, slow=220 |
-0.8% | -24.4% | -0.01 | -0.03 | 0.9x | 28 | 53% |
| Supertrend period=9, mult=4.5 |
-2.0% | -50.2% | -0.10 | -0.04 | 0.8x | 43 | 48% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.9% | -61.5% | -0.19 | -0.06 | 0.6x | 217 | 57% |
| MACD fast=11, slow=34, signal=9 |
-4.5% | -65.3% | -0.25 | -0.07 | 0.6x | 230 | 51% |
| Buy and hold | 1.3% | -52.7% | 0.17 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 43-day middle average