Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Baldwin Insurance Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Baldwin Insurance Group, Inc.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.8%, MDD -33.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.0%, drawdown -70.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.8%, MDD -33.6%, Sharpe 0.60, 15% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 11.7%, MDD -36.9%, exposure 23%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 8.8%, MDD -33.3%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=3 |
10.8% | -33.6% | 0.60 | 0.32 | 2.0x | 10 | 15% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=22, mult=3 |
11.7% | -36.9% | 0.58 | 0.32 | 2.1x | 15 | 23% |
| Donchian 채널 돌파 entryN=95, exitN=17 |
8.8% | -33.3% | 0.53 | 0.26 | 1.8x | 13 | 19% |
| SMA 크로스오버 fast=49, slow=104 |
11.5% | -50.4% | 0.50 | 0.23 | 2.1x | 21 | 44% |
| Supertrend period=4, mult=2.4 |
10.9% | -52.3% | 0.48 | 0.21 | 2.0x | 57 | 50% |
| ADX / DI 방향성 period=37, threshold=15 |
8.9% | -33.8% | 0.47 | 0.26 | 1.8x | 23 | 25% |
| MACD fast=11, slow=22, signal=8 |
7.3% | -65.5% | 0.37 | 0.11 | 1.6x | 136 | 48% |
| ROC 모멘텀 n=127, threshold=-0.02 |
5.9% | -52.9% | 0.34 | 0.11 | 1.5x | 59 | 49% |
| EMA 크로스오버 fast=49, slow=190 |
4.2% | -62.6% | 0.29 | 0.07 | 1.3x | 12 | 47% |
| Parabolic SAR step=0.02, maxStep=0.16 |
2.0% | -70.7% | 0.23 | 0.03 | 1.1x | 157 | 52% |
| Buy and hold | 8.0% | -70.2% | 0.41 | 0.11 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (3× volatility)
- Sell — Sell when the close falls back to the 42-day middle average