Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bain Capital Specialty Finance, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bain Capital Specialty Finance, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -7.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.5%, drawdown -64.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.7%, MDD -10.2%, Sharpe 0.76, 11% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.8%, MDD -13.6%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 54.3%p (CAGR 4.6%, MDD -7.2%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=14, mult=3.4 |
4.7% | -10.2% | 0.76 | 0.46 | 1.4x | 6 | 11% |
| ADX / DI 방향성 period=22, threshold=27 |
4.6% | -7.2% | 0.74 | 0.64 | 1.4x | 10 | 10% |
| ROC 모멘텀 n=82, threshold=0.13 |
3.8% | -15.7% | 0.56 | 0.24 | 1.3x | 30 | 13% |
| EMA 크로스오버 fast=10, slow=192 |
4.8% | -13.6% | 0.47 | 0.35 | 1.4x | 12 | 48% |
| Donchian 채널 돌파 entryN=96, exitN=31 |
3.7% | -17.5% | 0.46 | 0.21 | 1.3x | 10 | 26% |
| SMA 크로스오버 fast=9, slow=155 |
3.5% | -20.4% | 0.36 | 0.17 | 1.3x | 20 | 43% |
| Supertrend period=21, mult=5 |
2.1% | -28.2% | 0.22 | 0.08 | 1.2x | 16 | 49% |
| 볼린저 밴드 돌파 n=41, k=2.1 |
0.6% | -22.5% | 0.11 | 0.02 | 1.0x | 28 | 24% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.0% | -47.6% | -0.10 | -0.06 | 0.8x | 63 | 55% |
| MACD fast=18, slow=32, signal=15 |
-3.4% | -51.2% | -0.14 | -0.07 | 0.8x | 101 | 48% |
| Buy and hold | -4.5% | -64.5% | 0.01 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 36-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 36-day average