Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Blackrock Greater Europe Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Blackrock Greater Europe Investment Trust PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -46.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -48.6%, Sharpe 0.52, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.12 |
8.5% | -48.6% | 0.52 | 0.17 | 5.9x | 29 | 99% |
| SMA 크로스오버 fast=6, slow=143 |
5.8% | -27.5% | 0.49 | 0.21 | 3.4x | 81 | 64% |
| ADX / DI 방향성 period=13, threshold=49 |
1.7% | -9.3% | 0.48 | 0.18 | 1.4x | 24 | 4% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=15, mult=1.6 |
4.4% | -28.4% | 0.45 | 0.15 | 2.6x | 146 | 45% |
| EMA 크로스오버 fast=7, slow=158 |
5.3% | -30.7% | 0.45 | 0.17 | 3.1x | 83 | 67% |
| Supertrend period=20, mult=5 |
5.1% | -31.8% | 0.44 | 0.16 | 3.0x | 73 | 65% |
| Donchian 채널 돌파 entryN=27, exitN=78 |
5.5% | -47.3% | 0.42 | 0.12 | 3.2x | 53 | 77% |
| 볼린저 밴드 돌파 n=25, k=3 |
1.3% | -11.8% | 0.38 | 0.11 | 1.3x | 18 | 6% |
| MACD fast=22, slow=40, signal=21 |
3.6% | -34.0% | 0.34 | 0.11 | 2.2x | 206 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.8% | -42.1% | 0.01 | -0.02 | 0.8x | 390 | 59% |
| Buy and hold | 8.7% | -46.9% | 0.52 | 0.19 | 6.2x | 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 10-day return is greater than -12%
- Sell — Sell when the 10-day return drops to -12% or below