Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock Limited Duration Income Trust backtest
10 trend-following strategies were compared on the full daily history of Blackrock Limited Duration Income Trust. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.4%, drawdown -53.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.26, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.3%, MDD -35.8%, exposure 70%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 0.3%, MDD -0.5%, exposure 0%).
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 n=11, threshold=0.23 |
0.3% | -0.5% | 0.26 | 0.57 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=50, threshold=26 |
0.0% | -0.5% | 0.18 | 0.06 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=23, exitN=74 |
0.3% | -35.8% | 0.08 | 0.01 | 1.1x | 52 | 70% |
| EMA 크로스오버 fast=24, slow=182 |
0.2% | -21.8% | 0.07 | 0.01 | 1.1x | 36 | 50% |
| SMA 크로스오버 fast=9, slow=194 |
-0.1% | -26.5% | 0.03 | -0.00 | 1.0x | 52 | 52% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=2.7 |
-0.1% | -12.1% | -0.03 | -0.01 | 1.0x | 20 | 4% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
-0.1% | -7.4% | -0.06 | -0.01 | 1.0x | 4 | 1% |
| Supertrend period=12, mult=4.1 |
-2.0% | -43.7% | -0.19 | -0.04 | 0.6x | 82 | 55% |
| MACD fast=39, slow=58, signal=37 |
-4.0% | -66.9% | -0.41 | -0.06 | 0.4x | 150 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.9% | -75.8% | -0.65 | -0.08 | 0.2x | 196 | 53% |
| Buy and hold | -2.4% | -53.4% | -0.08 | -0.04 | 0.6x | 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 11-day return is greater than 23%
- Sell — Sell when the 11-day return drops to 23% or below