Trend-Following Backtester · Guide · backtest 한국어
etf · US
BlackRock Utility, Infrastructure & Power Opportunities Trust backtest
10 trend-following strategies were compared on the full daily history of BlackRock Utility, Infrastructure & Power Opportunities Trust. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.1%, drawdown -48.3%).
Sharpe leader (same as main): Supertrend — CAGR 1.3%, MDD -27.5%, Sharpe 0.16, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=1.8 |
1.3% | -27.5% | 0.16 | 0.05 | 1.2x | 178 | 58% |
| Donchian 채널 돌파 entryN=146, exitN=26 |
0.4% | -22.6% | 0.09 | 0.02 | 1.1x | 24 | 21% |
| ADX / DI 방향성 period=27, threshold=36 |
0.1% | -2.0% | 0.08 | 0.03 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=46, slow=210 |
-0.1% | -28.7% | 0.04 | -0.01 | 1.0x | 19 | 57% |
| SMA 크로스오버 fast=51, slow=170 |
-0.2% | -26.3% | 0.04 | -0.01 | 1.0x | 25 | 56% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
-0.1% | -5.9% | -0.02 | -0.01 | 1.0x | 4 | 3% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-1.1% | -36.4% | -0.05 | -0.03 | 0.8x | 128 | 56% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=10, mult=4 |
-0.8% | -31.7% | -0.08 | -0.03 | 0.9x | 28 | 24% |
| ROC 모멘텀 n=114, threshold=-0.04 |
-1.8% | -40.5% | -0.09 | -0.05 | 0.8x | 96 | 70% |
| MACD fast=7, slow=38, signal=18 |
-4.2% | -49.5% | -0.32 | -0.09 | 0.5x | 238 | 51% |
| Buy and hold | 2.1% | -48.3% | 0.21 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 1.8× band
- Sell — Sell when price drops below the trend line (flips down)