Trend-Following Backtester · Guide · backtest 한국어
etf · US
BlackRock Capital Allocation Term Trust backtest
10 trend-following strategies were compared on the full daily history of BlackRock Capital Allocation Term Trust. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.2%, MDD -2.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.1%, drawdown -44.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.0%, MDD -2.9%, Sharpe 0.01, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR -0.2%, MDD -2.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=36, k=3.3 |
0.0% | -2.9% | 0.01 | 0.00 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=46, slow=119 |
-0.7% | -21.8% | -0.03 | -0.03 | 1.0x | 11 | 42% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=4 |
-0.3% | -4.1% | -0.08 | -0.07 | 1.0x | 2 | 3% |
| ROC 모멘텀 n=35, threshold=0.13 |
-0.2% | -2.9% | -0.17 | -0.08 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=20, threshold=30 |
-0.6% | -9.2% | -0.17 | -0.06 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=119, exitN=53 |
-1.6% | -19.9% | -0.19 | -0.08 | 0.9x | 5 | 20% |
| EMA 크로스오버 fast=33, slow=190 |
-2.0% | -18.4% | -0.21 | -0.11 | 0.9x | 9 | 31% |
| Supertrend period=27, mult=5 |
-2.7% | -32.7% | -0.22 | -0.08 | 0.9x | 15 | 46% |
| MACD fast=14, slow=25, signal=19 |
-8.6% | -49.3% | -0.75 | -0.18 | 0.6x | 84 | 48% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-9.9% | -52.9% | -0.86 | -0.19 | 0.5x | 86 | 52% |
| Buy and hold | -4.1% | -44.3% | -0.17 | -0.09 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 36-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 36-day middle average