Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fidus Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of Fidus Investment Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.0%, MDD -33.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.8%, drawdown -78.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.1%, MDD -34.4%, Sharpe 0.27, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 2.0%, MDD -33.8%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=206 |
3.1% | -34.4% | 0.27 | 0.09 | 1.6x | 24 | 55% |
| Supertrend period=32, mult=3.6 |
3.0% | -41.5% | 0.25 | 0.07 | 1.6x | 61 | 59% |
| ADX / DI 방향성 period=31, threshold=29 |
0.4% | -4.1% | 0.24 | 0.11 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=102, exitN=84 |
2.0% | -33.8% | 0.21 | 0.06 | 1.4x | 17 | 44% |
| 볼린저 밴드 돌파 n=56, k=3.3 |
0.8% | -19.7% | 0.16 | 0.04 | 1.1x | 11 | 9% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=3.8 |
0.5% | -16.9% | 0.12 | 0.03 | 1.1x | 16 | 10% |
| EMA 크로스오버 fast=43, slow=73 |
0.4% | -52.0% | 0.11 | 0.01 | 1.1x | 37 | 58% |
| ROC 모멘텀 n=86, threshold=-0.11 |
-0.2% | -66.2% | 0.10 | -0.00 | 1.0x | 73 | 87% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.6% | -48.1% | -0.05 | -0.05 | 0.7x | 125 | 51% |
| MACD fast=11, slow=57, signal=11 |
-6.6% | -75.9% | -0.29 | -0.09 | 0.4x | 260 | 49% |
| Buy and hold | 1.8% | -78.8% | 0.22 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 58-day average falls below the 206-day average