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 8.1%, MDD -28.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.3%, drawdown -69.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.9%, MDD -33.2%, Sharpe 0.60, 39% exposure.
CAGR reference leader: Supertrend — CAGR 10.2%, MDD -44.6%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 8.1%, MDD -28.3%, 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 |
9.9% | -33.2% | 0.60 | 0.30 | 3.9x | 126 | 39% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
9.4% | -34.5% | 0.58 | 0.27 | 3.6x | 72 | 40% |
| Supertrend period=22, mult=4.2 |
10.2% | -44.6% | 0.56 | 0.23 | 4.0x | 50 | 55% |
| MACD fast=23, slow=69, signal=28 |
9.8% | -44.7% | 0.53 | 0.22 | 3.8x | 93 | 48% |
| EMA 크로스오버 fast=24, slow=33 |
8.3% | -44.5% | 0.47 | 0.19 | 3.1x | 68 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=22 |
8.6% | -40.2% | 0.47 | 0.21 | 3.2x | 66 | 56% |
| SMA 크로스오버 fast=20, slow=76 |
8.1% | -28.3% | 0.47 | 0.29 | 3.0x | 48 | 53% |
| ROC 모멘텀 n=38, threshold=0.02 |
7.2% | -47.8% | 0.44 | 0.15 | 2.7x | 193 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.7% | -56.7% | 0.36 | 0.10 | 2.2x | 125 | 49% |
| ADX / DI 방향성 period=22, threshold=12 |
4.5% | -43.0% | 0.32 | 0.11 | 1.9x | 186 | 48% |
| Buy and hold | 5.3% | -69.2% | 0.32 | 0.08 | 2.1x | 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