Trend-Following Backtester · Guide · backtest 한국어
equity · US
MidCap Financial Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of MidCap Financial Investment Corporation. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -17.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.7%, drawdown -92.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.5%, MDD -52.2%, Sharpe 0.23, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 0.6%, MDD -17.6%, exposure 2%).
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=6, threshold=0.08 |
2.5% | -52.2% | 0.23 | 0.05 | 1.7x | 144 | 4% |
| Supertrend period=25, mult=4.6 |
1.8% | -56.2% | 0.19 | 0.03 | 1.5x | 66 | 53% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=8, mult=4 |
1.0% | -23.5% | 0.17 | 0.04 | 1.3x | 16 | 6% |
| ADX / DI 방향성 period=24, threshold=29 |
0.6% | -17.6% | 0.12 | 0.03 | 1.1x | 18 | 2% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
0.2% | -41.8% | 0.07 | 0.00 | 1.0x | 38 | 4% |
| Donchian 채널 돌파 entryN=21, exitN=84 |
-2.4% | -80.6% | 0.03 | -0.03 | 0.6x | 60 | 72% |
| SMA 크로스오버 fast=59, slow=83 |
-2.4% | -67.5% | 0.00 | -0.04 | 0.6x | 78 | 49% |
| EMA 크로스오버 fast=48, slow=188 |
-1.5% | -63.9% | -0.01 | -0.02 | 0.7x | 32 | 45% |
| MACD fast=33, slow=56, signal=29 |
-4.2% | -74.9% | -0.05 | -0.06 | 0.4x | 172 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-7.2% | -87.6% | -0.19 | -0.08 | 0.2x | 290 | 52% |
| Buy and hold | -6.7% | -92.5% | 0.02 | -0.07 | 0.2x | 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 6-day return is greater than 8%
- Sell — Sell when the 6-day return drops to 8% or below