Trend-Following Backtester · Guide · backtest 한국어
equity · US
Blue Owl Capital Corporation backtest
10 trend-following strategies were compared on the full daily history of Blue Owl Capital Corporation. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -9.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.1%, drawdown -56.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -9.6%, Sharpe 0.17, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.8%, MDD -26.1%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 0.5%, MDD -9.6%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=26 |
0.5% | -9.6% | 0.17 | 0.06 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=50, slow=218 |
0.8% | -26.1% | 0.13 | 0.03 | 1.1x | 6 | 39% |
| 볼린저 밴드 돌파 n=12, k=2.5 |
-0.3% | -14.2% | -0.01 | -0.02 | 1.0x | 22 | 5% |
| ROC 모멘텀 n=142, threshold=0.08 |
-0.3% | -12.9% | -0.02 | -0.03 | 1.0x | 50 | 20% |
| EMA 크로스오버 fast=44, slow=186 |
-1.4% | -23.9% | -0.08 | -0.06 | 0.9x | 10 | 40% |
| Donchian 채널 돌파 entryN=22, exitN=48 |
-2.7% | -42.1% | -0.11 | -0.06 | 0.8x | 19 | 64% |
| Supertrend period=22, mult=2.2 |
-3.5% | -43.7% | -0.12 | -0.08 | 0.8x | 72 | 57% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=14, mult=2.8 |
-1.2% | -14.4% | -0.22 | -0.08 | 0.9x | 10 | 5% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-8.7% | -58.3% | -0.47 | -0.15 | 0.5x | 65 | 51% |
| MACD fast=14, slow=34, signal=21 |
-9.7% | -58.7% | -0.59 | -0.17 | 0.5x | 96 | 50% |
| Buy and hold | -4.1% | -56.9% | -0.02 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)