Trend-Following Backtester · Guide · backtest 한국어
etf · US
BlackRock Science and Technology Term Trust backtest
10 trend-following strategies were compared on the full daily history of BlackRock Science and Technology Term Trust. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.4%, MDD -21.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.3%, drawdown -67.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.4%, MDD -21.2%, Sharpe 0.87, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 46.2%p (CAGR 15.4%, MDD -21.2%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=28, slow=188 |
15.4% | -21.2% | 0.87 | 0.73 | 2.8x | 5 | 54% |
| SMA 크로스오버 fast=22, slow=217 |
14.0% | -25.8% | 0.79 | 0.54 | 2.6x | 7 | 56% |
| Donchian 채널 돌파 entryN=60, exitN=79 |
14.2% | -25.2% | 0.78 | 0.56 | 2.6x | 9 | 64% |
| ADX / DI 방향성 period=24, threshold=26 |
3.5% | -10.7% | 0.51 | 0.33 | 1.3x | 8 | 6% |
| ROC 모멘텀 n=126, threshold=0.04 |
7.3% | -36.7% | 0.50 | 0.20 | 1.7x | 47 | 46% |
| 볼린저 밴드 돌파 n=28, k=2.3 |
4.7% | -26.9% | 0.48 | 0.18 | 1.4x | 27 | 23% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=13, mult=1.4 |
4.6% | -24.8% | 0.39 | 0.19 | 1.4x | 76 | 38% |
| Supertrend period=35, mult=4.7 |
5.4% | -45.5% | 0.38 | 0.12 | 1.5x | 33 | 62% |
| Parabolic SAR step=0.015, maxStep=0.3 |
2.9% | -44.9% | 0.25 | 0.06 | 1.2x | 131 | 57% |
| MACD fast=4, slow=47, signal=18 |
1.2% | -48.5% | 0.16 | 0.02 | 1.1x | 135 | 52% |
| Buy and hold | 6.3% | -67.5% | 0.35 | 0.09 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 188-day EMA
- Sell — Sell when the 28-day EMA falls below the 188-day EMA