Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oaktree Specialty Lending Corporation backtest
10 trend-following strategies were compared on the full daily history of Oaktree Specialty Lending Corporation. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -10.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.4%, drawdown -83.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -10.8%, Sharpe 0.31, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 72.2%p (CAGR 1.5%, MDD -10.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=26 |
1.5% | -10.8% | 0.31 | 0.14 | 1.3x | 8 | 4% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
0.8% | -24.5% | 0.13 | 0.03 | 1.2x | 37 | 18% |
| Donchian 채널 돌파 entryN=85, exitN=34 |
0.8% | -34.6% | 0.13 | 0.02 | 1.2x | 26 | 31% |
| SMA 크로스오버 fast=23, slow=114 |
0.6% | -48.2% | 0.12 | 0.01 | 1.1x | 47 | 43% |
| Supertrend period=23, mult=4.9 |
0.5% | -52.4% | 0.12 | 0.01 | 1.1x | 45 | 46% |
| EMA 크로스오버 fast=38, slow=120 |
0.3% | -55.1% | 0.09 | 0.00 | 1.0x | 33 | 41% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=12, mult=2.4 |
-0.5% | -40.8% | 0.02 | -0.01 | 0.9x | 63 | 23% |
| ROC 모멘텀 n=83, threshold=0.13 |
-0.8% | -48.5% | -0.03 | -0.02 | 0.9x | 108 | 14% |
| MACD fast=16, slow=20, signal=15 |
-8.2% | -84.9% | -0.31 | -0.10 | 0.2x | 271 | 51% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-12.4% | -93.0% | -0.54 | -0.13 | 0.1x | 283 | 51% |
| Buy and hold | -5.4% | -83.1% | -0.02 | -0.07 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)