Trend-Following Backtester · Guide · backtest 한국어
etf · US
Oxford Lane Capital Corp. backtest
10 trend-following strategies were compared on the full daily history of Oxford Lane Capital Corp.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -6.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -91.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.8%, MDD -29.4%, Sharpe 0.19, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 62.2%p (CAGR -0.0%, MDD -6.5%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=142 |
1.8% | -29.4% | 0.19 | 0.06 | 1.3x | 24 | 37% |
| ROC 모멘텀 n=141, threshold=0.14 |
0.8% | -29.5% | 0.14 | 0.03 | 1.1x | 60 | 11% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-1.0% | -61.6% | 0.07 | -0.02 | 0.9x | 399 | 49% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
0.1% | -18.4% | 0.04 | 0.01 | 1.0x | 8 | 6% |
| ADX / DI 방향성 period=34, threshold=33 |
-0.0% | -6.5% | 0.00 | -0.00 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=111, exitN=44 |
-0.9% | -36.1% | -0.03 | -0.03 | 0.9x | 20 | 23% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=2.4 |
-1.1% | -36.2% | -0.05 | -0.03 | 0.8x | 50 | 18% |
| EMA 크로스오버 fast=59, slow=98 |
-1.8% | -35.1% | -0.07 | -0.05 | 0.7x | 22 | 36% |
| MACD fast=17, slow=39, signal=14 |
-6.0% | -75.1% | -0.17 | -0.08 | 0.4x | 179 | 50% |
| Supertrend period=22, mult=3.2 |
-7.9% | -74.0% | -0.28 | -0.11 | 0.3x | 100 | 44% |
| Buy and hold | -14.1% | -91.6% | -0.20 | -0.15 | 0.1x | 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 57-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 57-day average falls below the 142-day average