Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock MuniYield Quality Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blackrock MuniYield Quality Fund, Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -3.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.9%, drawdown -50.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.7%, MDD -6.7%, Sharpe 0.26, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR -0.1%, MDD -3.8%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=13, threshold=0.12 |
0.7% | -6.7% | 0.26 | 0.10 | 1.3x | 14 | 0% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
0.1% | -5.5% | 0.06 | 0.01 | 1.0x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=23, mult=4 |
-0.1% | -8.8% | -0.05 | -0.01 | 1.0x | 8 | 1% |
| Donchian 채널 돌파 entryN=29, exitN=70 |
-1.0% | -52.6% | -0.05 | -0.02 | 0.7x | 89 | 69% |
| EMA 크로스오버 fast=28, slow=77 |
-1.0% | -49.5% | -0.07 | -0.02 | 0.7x | 104 | 55% |
| Supertrend period=19, mult=4.6 |
-1.4% | -46.6% | -0.10 | -0.03 | 0.6x | 117 | 55% |
| SMA 크로스오버 fast=19, slow=130 |
-1.4% | -54.7% | -0.11 | -0.03 | 0.6x | 89 | 55% |
| ADX / DI 방향성 period=32, threshold=36 |
-0.1% | -3.8% | -0.21 | -0.02 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-3.7% | -73.1% | -0.37 | -0.05 | 0.3x | 422 | 54% |
| MACD fast=23, slow=38, signal=17 |
-4.3% | -77.9% | -0.43 | -0.05 | 0.2x | 370 | 52% |
| Buy and hold | -0.9% | -50.0% | 0.01 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than 12%
- Sell — Sell when the 13-day return drops to 12% or below