Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Carlyle Group Inc. backtest
10 trend-following strategies were compared on the full daily history of The Carlyle Group Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -30.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.6%, drawdown -69.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.8%, MDD -33.2%, Sharpe 0.59, 39% exposure.
CAGR reference leader: MACD — CAGR 10.2%, MDD -44.7%, exposure 48%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 8.0%, MDD -30.1%, exposure 53%).
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=23, atrPeriod=10, mult=1.2 |
9.8% | -33.2% | 0.59 | 0.29 | 3.8x | 127 | 39% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
9.3% | -34.5% | 0.57 | 0.27 | 3.6x | 73 | 40% |
| Supertrend period=22, mult=4.2 |
10.1% | -44.6% | 0.55 | 0.23 | 3.9x | 51 | 55% |
| MACD fast=23, slow=69, signal=28 |
10.2% | -44.7% | 0.54 | 0.23 | 4.0x | 93 | 48% |
| Donchian 채널 돌파 entryN=21, exitN=22 |
8.4% | -40.2% | 0.47 | 0.21 | 3.2x | 67 | 56% |
| EMA 크로스오버 fast=24, slow=33 |
8.1% | -44.5% | 0.47 | 0.18 | 3.1x | 69 | 53% |
| SMA 크로스오버 fast=20, slow=76 |
8.0% | -30.1% | 0.46 | 0.26 | 3.0x | 49 | 53% |
| ROC 모멘텀 n=38, threshold=0.02 |
7.6% | -47.8% | 0.45 | 0.16 | 2.8x | 193 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.1% | -56.7% | 0.37 | 0.11 | 2.3x | 125 | 49% |
| ADX / DI 방향성 period=22, threshold=12 |
4.0% | -43.0% | 0.29 | 0.09 | 1.8x | 187 | 48% |
| Buy and hold | 5.6% | -69.2% | 0.33 | 0.08 | 2.2x | 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 23-day average + 1.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 23-day average