Trend-Following Backtester · Guide · backtest 한국어
etf · GB
BlackRock Frontiers Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of BlackRock Frontiers Investment Trust PLC. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.8%, MDD -20.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.8%, drawdown -53.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -23.6%, Sharpe 0.48, 62% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.5%, MDD -22.0%, exposure 63%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 4.8%, MDD -20.0%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=158 |
6.4% | -23.6% | 0.48 | 0.27 | 2.7x | 23 | 62% |
| EMA 크로스오버 fast=101, slow=224 |
6.5% | -22.0% | 0.48 | 0.30 | 2.7x | 7 | 63% |
| ADX / DI 방향성 period=34, threshold=27 |
1.7% | -5.8% | 0.46 | 0.29 | 1.3x | 4 | 4% |
| Donchian 채널 돌파 entryN=119, exitN=74 |
4.8% | -20.0% | 0.40 | 0.24 | 2.1x | 15 | 56% |
| Supertrend period=7, mult=5 |
4.4% | -23.6% | 0.38 | 0.19 | 2.0x | 18 | 57% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=16, mult=3 |
0.5% | -2.6% | 0.35 | 0.20 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=142, threshold=-0.04 |
3.9% | -35.2% | 0.31 | 0.11 | 1.8x | 71 | 72% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
1.0% | -23.8% | 0.21 | 0.04 | 1.2x | 12 | 7% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.5% | -59.8% | -0.10 | -0.04 | 0.7x | 215 | 57% |
| MACD fast=24, slow=52, signal=24 |
-4.6% | -65.7% | -0.26 | -0.07 | 0.5x | 161 | 54% |
| Buy and hold | 3.8% | -53.5% | 0.28 | 0.07 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 48-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 48-day average falls below the 158-day average