Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Blackrock Smaller Companies Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Blackrock Smaller Companies Trust PLC. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.8%, MDD -26.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.2%, drawdown -85.5%).
Sharpe leader (same as main): Supertrend — CAGR 16.5%, MDD -34.9%, Sharpe 1.10, 59% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 12.8%, MDD -26.0%, exposure 40%).
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=26, mult=4.5 |
16.5% | -34.9% | 1.10 | 0.47 | 3443.7x | 267 | 59% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=8, mult=2.7 |
12.8% | -26.0% | 1.01 | 0.49 | 608.7x | 230 | 40% |
| Parabolic SAR step=0.02, maxStep=0.1 |
14.6% | -47.8% | 1.00 | 0.31 | 1434.9x | 529 | 58% |
| ADX / DI 방향성 period=9, threshold=25 |
13.5% | -38.9% | 0.97 | 0.35 | 875.5x | 580 | 49% |
| 볼린저 밴드 돌파 n=19, k=1.7 |
12.8% | -49.9% | 0.95 | 0.26 | 611.3x | 422 | 46% |
| SMA 크로스오버 fast=5, slow=53 |
11.9% | -27.1% | 0.94 | 0.44 | 400.9x | 263 | 56% |
| EMA 크로스오버 fast=5, slow=20 |
13.3% | -38.3% | 0.92 | 0.35 | 790.6x | 429 | 58% |
| ROC 모멘텀 n=43, threshold=0 |
9.6% | -46.3% | 0.78 | 0.21 | 131.1x | 403 | 55% |
| Donchian 채널 돌파 entryN=95, exitN=28 |
8.4% | -65.5% | 0.61 | 0.13 | 75.5x | 152 | 44% |
| MACD fast=21, slow=65, signal=18 |
5.6% | -88.0% | 0.41 | 0.06 | 18.2x | 381 | 50% |
| Buy and hold | 9.2% | -85.5% | 0.33 | 0.11 | 107.1x | 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) — 26-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)