Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Senior Loan Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Senior Loan Fund. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.9%, drawdown -26.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.64, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 25.9%p (CAGR 0.3%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=42, threshold=0.07 |
0.3% | -0.5% | 0.64 | 0.57 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=26, mult=3.9 |
-0.0% | -1.3% | -0.07 | -0.02 | 1.0x | 2 | 1% |
| Supertrend period=42, mult=4.8 |
-0.3% | -15.3% | -0.09 | -0.02 | 1.0x | 29 | 66% |
| ADX / DI 방향성 period=22, threshold=31 |
-0.3% | -5.0% | -0.21 | -0.05 | 1.0x | 18 | 8% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
-0.2% | -2.4% | -0.34 | -0.07 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=117, exitN=64 |
-0.7% | -9.3% | -0.46 | -0.07 | 0.9x | 12 | 22% |
| SMA 크로스오버 fast=46, slow=185 |
-1.6% | -18.9% | -0.57 | -0.08 | 0.8x | 24 | 46% |
| EMA 크로스오버 fast=38, slow=191 |
-1.3% | -15.4% | -0.65 | -0.08 | 0.8x | 24 | 43% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.1% | -34.6% | -1.12 | -0.09 | 0.7x | 107 | 52% |
| MACD fast=16, slow=46, signal=15 |
-5.8% | -55.0% | -2.01 | -0.11 | 0.5x | 168 | 46% |
| Buy and hold | -0.9% | -26.4% | -0.15 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 42-day return is greater than 7%
- Sell — Sell when the 42-day return drops to 7% or below