Trend-Following Backtester · Guide · backtest 한국어
etf · US
BlackRock ESG Capital Allocation Term Trust backtest
10 trend-following strategies were compared on the full daily history of BlackRock ESG Capital Allocation Term Trust. 9 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 0.5%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.2%, drawdown -36.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -0.5%, Sharpe 0.60, 0% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.5%, MDD -3.6%, exposure 3%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=22 |
0.5% | -0.5% | 0.60 | 1.01 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=11, k=2.5 |
1.5% | -3.6% | 0.57 | 0.41 | 1.1x | 4 | 3% |
| ROC 모멘텀 n=23, threshold=0.13 |
0.4% | -0.5% | 0.48 | 0.86 | 1.0x | 2 | 0% |
| Supertrend period=26, mult=4 |
0.7% | -20.5% | 0.12 | 0.03 | 1.0x | 18 | 47% |
| EMA 크로스오버 fast=21, slow=131 |
0.2% | -15.2% | 0.07 | 0.01 | 1.0x | 8 | 47% |
| SMA 크로스오버 fast=25, slow=175 |
-0.8% | -18.6% | -0.03 | -0.04 | 1.0x | 8 | 46% |
| Donchian 채널 돌파 entryN=33, exitN=79 |
-1.1% | -18.8% | -0.04 | -0.06 | 0.9x | 10 | 57% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=2.6 |
-1.5% | -12.7% | -0.21 | -0.12 | 0.9x | 16 | 20% |
| MACD fast=38, slow=42, signal=37 |
-3.7% | -24.0% | -0.29 | -0.15 | 0.8x | 28 | 45% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-7.7% | -33.0% | -0.67 | -0.23 | 0.7x | 46 | 49% |
| Buy and hold | -7.2% | -36.5% | -0.33 | -0.20 | 0.7x | 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, 36-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)