Trend-Following Backtester · Guide · backtest 한국어
etf · US
BlackRock Science and Technology Trust backtest
10 trend-following strategies were compared on the full daily history of BlackRock Science and Technology Trust. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -26.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.3%, drawdown -53.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -26.3%, Sharpe 0.64, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 9.5%, MDD -26.3%, exposure 60%).
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=12, slow=180 |
9.5% | -26.3% | 0.64 | 0.36 | 2.9x | 23 | 60% |
| EMA 크로스오버 fast=54, slow=94 |
7.8% | -30.7% | 0.54 | 0.25 | 2.4x | 19 | 59% |
| Donchian 채널 돌파 entryN=89, exitN=73 |
7.2% | -32.9% | 0.53 | 0.22 | 2.3x | 15 | 53% |
| ROC 모멘텀 n=105, threshold=0.03 |
5.8% | -38.1% | 0.46 | 0.15 | 1.9x | 115 | 51% |
| ADX / DI 방향성 period=41, threshold=17 |
3.1% | -13.4% | 0.43 | 0.23 | 1.4x | 14 | 14% |
| Supertrend period=20, mult=4.7 |
3.1% | -36.6% | 0.29 | 0.09 | 1.4x | 49 | 54% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
0.5% | -4.6% | 0.28 | 0.12 | 1.1x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=4 |
1.5% | -29.7% | 0.20 | 0.05 | 1.2x | 26 | 24% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.7% | -59.9% | -0.31 | -0.10 | 0.5x | 113 | 57% |
| MACD fast=9, slow=71, signal=23 |
-7.2% | -68.0% | -0.43 | -0.11 | 0.4x | 175 | 52% |
| Buy and hold | 8.3% | -53.5% | 0.44 | 0.15 | 2.6x | 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 12-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 12-day average falls below the 180-day average