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 4.7%, MDD -19.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.2%, drawdown -69.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.1%, MDD -33.5%, Sharpe 0.71, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 4.7%, 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 |
16.1% | -33.5% | 0.71 | 0.48 | 2.3x | 51 | 43% |
| Donchian 채널 돌파 entryN=93, exitN=51 |
9.8% | -43.5% | 0.49 | 0.23 | 1.7x | 7 | 46% |
| SMA 크로스오버 fast=39, slow=128 |
7.7% | -35.0% | 0.44 | 0.22 | 1.5x | 11 | 44% |
| Parabolic SAR step=0.03, maxStep=0.22 |
8.6% | -36.2% | 0.42 | 0.24 | 1.6x | 147 | 50% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=21, mult=1.1 |
7.9% | -40.0% | 0.42 | 0.20 | 1.5x | 31 | 40% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
4.7% | -19.6% | 0.42 | 0.24 | 1.3x | 8 | 4% |
| Supertrend period=18, mult=2.4 |
7.2% | -45.1% | 0.38 | 0.16 | 1.5x | 51 | 50% |
| ADX / DI 방향성 period=33, threshold=17 |
5.5% | -26.3% | 0.37 | 0.21 | 1.4x | 23 | 26% |
| EMA 크로스오버 fast=43, slow=82 |
5.9% | -42.1% | 0.35 | 0.14 | 1.4x | 11 | 45% |
| MACD fast=17, slow=50, signal=7 |
1.2% | -55.0% | 0.20 | 0.02 | 1.1x | 90 | 51% |
| Buy and hold | 3.2% | -69.2% | 0.29 | 0.05 | 1.2x | 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