Trend-Following Backtester · Guide · backtest 한국어
equity · US
Blackstone Mortgage Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blackstone Mortgage Trust, Inc.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -69.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -6.0%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -69.5%, Sharpe 0.18, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 1.5%, MDD -69.5%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=18 |
1.5% | -69.5% | 0.18 | 0.02 | 2.0x | 140 | 18% |
| EMA 크로스오버 fast=46, slow=184 |
0.1% | -91.7% | 0.15 | 0.00 | 1.0x | 68 | 48% |
| SMA 크로스오버 fast=46, slow=173 |
-1.7% | -92.9% | 0.10 | -0.02 | 0.5x | 78 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=3.7 |
0.0% | -70.6% | 0.10 | 0.00 | 1.0x | 104 | 18% |
| 볼린저 밴드 돌파 n=62, k=3.1 |
-0.9% | -73.1% | 0.05 | -0.01 | 0.7x | 74 | 15% |
| ROC 모멘텀 n=197, threshold=0.14 |
-2.5% | -90.3% | 0.01 | -0.03 | 0.3x | 290 | 25% |
| Donchian 채널 돌파 entryN=89, exitN=51 |
-4.0% | -91.5% | -0.00 | -0.04 | 0.2x | 92 | 35% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-7.1% | -97.1% | -0.03 | -0.07 | 0.0x | 306 | 49% |
| Supertrend period=29, mult=5 |
-7.3% | -97.5% | -0.06 | -0.07 | 0.0x | 168 | 50% |
| MACD fast=29, slow=53, signal=30 |
-11.2% | -99.9% | -0.09 | -0.11 | 0.0x | 390 | 52% |
| Buy and hold | -6.0% | -98.4% | 0.16 | -0.06 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)