Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ares Management Corporation backtest
10 trend-following strategies were compared on the full daily history of Ares Management Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.0%, drawdown -51.3%).
Sharpe leader (same as main): Supertrend — CAGR 15.8%, MDD -41.7%, Sharpe 0.74, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=2.4 |
15.8% | -41.7% | 0.74 | 0.38 | 6.1x | 99 | 59% |
| SMA 크로스오버 fast=78, slow=189 |
15.3% | -44.8% | 0.63 | 0.34 | 5.8x | 16 | 67% |
| Donchian 채널 돌파 entryN=89, exitN=77 |
12.3% | -41.3% | 0.59 | 0.30 | 4.2x | 15 | 68% |
| ROC 모멘텀 n=47, threshold=-0.09 |
11.6% | -43.3% | 0.53 | 0.27 | 3.9x | 107 | 84% |
| EMA 크로스오버 fast=80, slow=242 |
11.1% | -51.9% | 0.50 | 0.21 | 3.7x | 12 | 75% |
| Parabolic SAR step=0.01, maxStep=0.1 |
8.3% | -41.8% | 0.46 | 0.20 | 2.7x | 173 | 56% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=21, mult=1.3 |
5.2% | -35.5% | 0.35 | 0.15 | 1.9x | 79 | 52% |
| MACD fast=17, slow=50, signal=17 |
5.3% | -48.0% | 0.34 | 0.11 | 1.9x | 139 | 52% |
| ADX / DI 방향성 period=30, threshold=11 |
5.2% | -35.4% | 0.34 | 0.15 | 1.9x | 155 | 50% |
| 볼린저 밴드 돌파 n=42, k=1.8 |
4.2% | -34.7% | 0.31 | 0.12 | 1.7x | 81 | 43% |
| Buy and hold | 18.0% | -51.3% | 0.64 | 0.35 | 7.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)