Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Blackrock World Mining Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Blackrock World Mining Trust PLC. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.6%, MDD -37.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.6%, drawdown -80.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -42.0%, Sharpe 0.62, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 8.6%, MDD -37.5%, exposure 41%).
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=10, slow=93 |
11.1% | -42.0% | 0.62 | 0.27 | 31.7x | 123 | 55% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=2.2 |
8.8% | -44.3% | 0.59 | 0.20 | 15.6x | 161 | 40% |
| Donchian 채널 돌파 entryN=32, exitN=35 |
10.0% | -62.7% | 0.57 | 0.16 | 22.3x | 117 | 55% |
| 볼린저 밴드 돌파 n=85, k=1.7 |
8.6% | -37.5% | 0.56 | 0.23 | 14.6x | 91 | 41% |
| Supertrend period=10, mult=3.6 |
9.3% | -60.4% | 0.55 | 0.15 | 18.3x | 251 | 50% |
| EMA 크로스오버 fast=21, slow=60 |
9.4% | -49.2% | 0.54 | 0.19 | 18.6x | 129 | 55% |
| ROC 모멘텀 n=120, threshold=0.14 |
6.6% | -40.7% | 0.48 | 0.16 | 8.1x | 173 | 31% |
| ADX / DI 방향성 period=39, threshold=12 |
3.3% | -67.8% | 0.28 | 0.05 | 2.9x | 240 | 33% |
| MACD fast=22, slow=73, signal=8 |
3.1% | -63.4% | 0.25 | 0.05 | 2.7x | 433 | 53% |
| Parabolic SAR step=0.015, maxStep=0.3 |
2.1% | -79.7% | 0.20 | 0.03 | 2.0x | 547 | 53% |
| Buy and hold | 7.6% | -80.6% | 0.39 | 0.09 | 10.8x | 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 10-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 10-day average falls below the 93-day average