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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -33.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.6%, drawdown -70.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.3%, MDD -36.9%, Sharpe 0.64, 24% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 10.4%, MDD -33.3%, exposure 20%).
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=47, atrPeriod=22, mult=3 |
13.3% | -36.9% | 0.64 | 0.36 | 2.3x | 15 | 24% |
| 볼린저 밴드 돌파 n=42, k=3 |
10.7% | -33.6% | 0.60 | 0.32 | 2.0x | 10 | 15% |
| Donchian 채널 돌파 entryN=95, exitN=17 |
10.4% | -33.3% | 0.60 | 0.31 | 2.0x | 13 | 20% |
| SMA 크로스오버 fast=49, slow=104 |
13.1% | -50.4% | 0.54 | 0.26 | 2.3x | 21 | 45% |
| ADX / DI 방향성 period=37, threshold=15 |
10.5% | -33.8% | 0.53 | 0.31 | 2.0x | 23 | 26% |
| Supertrend period=4, mult=2.4 |
12.5% | -52.3% | 0.52 | 0.24 | 2.2x | 57 | 51% |
| MACD fast=11, slow=22, signal=8 |
7.8% | -65.5% | 0.39 | 0.12 | 1.7x | 138 | 48% |
| ROC 모멘텀 n=127, threshold=-0.02 |
7.5% | -52.9% | 0.38 | 0.14 | 1.6x | 59 | 50% |
| EMA 크로스오버 fast=49, slow=190 |
4.8% | -62.6% | 0.31 | 0.08 | 1.4x | 13 | 48% |
| Parabolic SAR step=0.02, maxStep=0.16 |
3.3% | -70.7% | 0.27 | 0.05 | 1.2x | 158 | 53% |
| Buy and hold | 9.6% | -70.2% | 0.44 | 0.14 | 1.9x | 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 47-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average