Trend-Following Backtester · Guide · backtest 한국어
equity · US
Capital Southwest Corporation backtest
10 trend-following strategies were compared on the full daily history of Capital Southwest Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -33.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -69.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.8%, MDD -52.3%, Sharpe 0.48, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 17.1%p (CAGR 7.4%, MDD -33.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=45, slow=217 |
8.8% | -52.3% | 0.48 | 0.17 | 50.0x | 35 | 70% |
| SMA 크로스오버 fast=45, slow=211 |
8.7% | -51.2% | 0.48 | 0.17 | 47.7x | 49 | 68% |
| Donchian 채널 돌파 entryN=86, exitN=49 |
7.4% | -33.9% | 0.46 | 0.22 | 28.1x | 75 | 53% |
| ADX / DI 방향성 period=37, threshold=21 |
4.4% | -40.9% | 0.42 | 0.11 | 7.5x | 62 | 26% |
| Supertrend period=10, mult=5 |
5.9% | -62.5% | 0.37 | 0.09 | 14.1x | 129 | 63% |
| ROC 모멘텀 n=126, threshold=-0.04 |
5.5% | -67.2% | 0.35 | 0.08 | 11.9x | 279 | 75% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=13, mult=2.9 |
4.0% | -41.4% | 0.32 | 0.10 | 6.2x | 141 | 39% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.2% | -77.2% | 0.30 | 0.05 | 6.8x | 523 | 58% |
| 볼린저 밴드 돌파 n=56, k=2 |
2.6% | -55.0% | 0.23 | 0.05 | 3.2x | 203 | 40% |
| MACD fast=29, slow=57, signal=28 |
-1.3% | -93.6% | 0.05 | -0.01 | 0.6x | 361 | 52% |
| Buy and hold | 9.5% | -69.4% | 0.44 | 0.14 | 67.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 217-day EMA
- Sell — Sell when the 45-day EMA falls below the 217-day EMA