Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ares Capital Corporation backtest
10 trend-following strategies were compared on the full daily history of Ares Capital Corporation. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.2%, MDD -30.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.4%, drawdown -84.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.1%, MDD -7.0%, Sharpe 0.33, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.0%, MDD -39.7%, exposure 48%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 77.1%p (CAGR 2.2%, MDD -30.1%, exposure 53%).
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=47, k=3.5 |
1.1% | -7.0% | 0.33 | 0.15 | 1.3x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=24, mult=2.5 |
0.6% | -10.1% | 0.28 | 0.06 | 1.1x | 6 | 1% |
| Donchian 채널 돌파 entryN=55, exitN=45 |
3.0% | -39.7% | 0.27 | 0.07 | 1.9x | 45 | 48% |
| SMA 크로스오버 fast=44, slow=164 |
2.2% | -30.1% | 0.22 | 0.07 | 1.6x | 37 | 53% |
| ADX / DI 방향성 period=27, threshold=35 |
0.2% | -2.1% | 0.22 | 0.07 | 1.0x | 4 | 0% |
| EMA 크로스오버 fast=37, slow=130 |
1.4% | -38.5% | 0.16 | 0.04 | 1.3x | 43 | 53% |
| Supertrend period=26, mult=4.1 |
0.3% | -61.2% | 0.11 | 0.01 | 1.1x | 91 | 55% |
| ROC 모멘텀 n=98, threshold=0.14 |
0.6% | -36.6% | 0.11 | 0.02 | 1.1x | 102 | 11% |
| MACD fast=16, slow=41, signal=17 |
-4.8% | -73.5% | -0.14 | -0.07 | 0.3x | 277 | 51% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-6.8% | -82.9% | -0.25 | -0.08 | 0.2x | 347 | 56% |
| Buy and hold | 1.4% | -84.1% | 0.20 | 0.02 | 1.3x | 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 47-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 47-day middle average