Trend-Following Backtester · Guide · backtest 한국어
equity · US
Blackstone Inc. backtest
10 trend-following strategies were compared on the full daily history of Blackstone Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.2%, MDD -36.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.7%, drawdown -89.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -37.9%, Sharpe 0.64, 48% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.8%, MDD -37.9%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 10.2%, MDD -36.4%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=80, exitN=51 |
12.3% | -37.9% | 0.64 | 0.32 | 9.2x | 31 | 48% |
| EMA 크로스오버 fast=35, slow=47 |
12.8% | -37.9% | 0.60 | 0.34 | 10.1x | 59 | 57% |
| SMA 크로스오버 fast=13, slow=103 |
12.6% | -40.3% | 0.60 | 0.31 | 9.8x | 71 | 57% |
| 볼린저 밴드 돌파 n=66, k=2.1 |
10.2% | -36.4% | 0.58 | 0.28 | 6.4x | 51 | 37% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=13, mult=1.6 |
10.4% | -41.2% | 0.55 | 0.25 | 6.6x | 99 | 46% |
| ROC 모멘텀 n=88, threshold=0.01 |
8.6% | -48.4% | 0.45 | 0.18 | 4.9x | 173 | 56% |
| Supertrend period=9, mult=4.7 |
8.2% | -53.2% | 0.44 | 0.15 | 4.5x | 63 | 52% |
| ADX / DI 방향성 period=42, threshold=22 |
2.8% | -18.7% | 0.40 | 0.15 | 1.7x | 16 | 7% |
| MACD fast=17, slow=58, signal=13 |
1.4% | -64.5% | 0.19 | 0.02 | 1.3x | 237 | 52% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-0.0% | -72.1% | 0.14 | -0.00 | 1.0x | 416 | 53% |
| Buy and hold | 7.7% | -89.0% | 0.39 | 0.09 | 4.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 80 days
- Sell — Sell when price breaks below the lowest low of the last 51 days