Trend-Following Backtester · Guide · backtest 한국어
equity · US
Blue Owl Capital Inc. backtest
10 trend-following strategies were compared on the full daily history of Blue Owl Capital Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.8%, MDD -19.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.1%, drawdown -69.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.8%, MDD -33.5%, Sharpe 0.60, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 4.8%, MDD -19.6%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=80, threshold=0.02 |
12.8% | -33.5% | 0.60 | 0.38 | 2.0x | 51 | 42% |
| SMA 크로스오버 fast=39, slow=128 |
8.6% | -34.7% | 0.47 | 0.25 | 1.6x | 10 | 44% |
| Donchian 채널 돌파 entryN=93, exitN=51 |
8.3% | -43.5% | 0.44 | 0.19 | 1.6x | 6 | 46% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
4.8% | -19.6% | 0.42 | 0.24 | 1.3x | 8 | 4% |
| ADX / DI 방향성 period=33, threshold=17 |
5.4% | -26.3% | 0.36 | 0.20 | 1.3x | 22 | 26% |
| EMA 크로스오버 fast=43, slow=82 |
6.0% | -42.1% | 0.36 | 0.14 | 1.4x | 10 | 45% |
| Parabolic SAR step=0.03, maxStep=0.22 |
6.2% | -36.2% | 0.35 | 0.17 | 1.4x | 145 | 50% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=21, mult=1.1 |
4.7% | -40.0% | 0.31 | 0.12 | 1.3x | 31 | 39% |
| Supertrend period=18, mult=2.4 |
4.1% | -45.1% | 0.28 | 0.09 | 1.3x | 51 | 50% |
| MACD fast=17, slow=50, signal=7 |
-0.9% | -55.0% | 0.13 | -0.02 | 1.0x | 89 | 51% |
| Buy and hold | 0.1% | -69.2% | 0.22 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 80-day return is greater than 2%
- Sell — Sell when the 80-day return drops to 2% or below