Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock MuniAssets Fund, Inc backtest
10 trend-following strategies were compared on the full daily history of Blackrock MuniAssets Fund, Inc. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.3%, MDD -13.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.2%, drawdown -50.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.3%, MDD -22.7%, Sharpe 0.07, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 27.4%p (CAGR -0.3%, MDD -13.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=103, exitN=99 |
0.3% | -22.7% | 0.07 | 0.01 | 1.1x | 42 | 54% |
| SMA 크로스오버 fast=20, slow=106 |
0.1% | -41.8% | 0.06 | 0.00 | 1.0x | 85 | 57% |
| EMA 크로스오버 fast=46, slow=65 |
-0.1% | -46.8% | 0.04 | -0.00 | 1.0x | 66 | 57% |
| Supertrend period=18, mult=4.8 |
-1.1% | -38.6% | -0.07 | -0.03 | 0.7x | 96 | 54% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
-0.3% | -16.3% | -0.11 | -0.02 | 0.9x | 14 | 4% |
| ADX / DI 방향성 period=25, threshold=24 |
-0.7% | -34.7% | -0.13 | -0.02 | 0.8x | 82 | 13% |
| ROC 모멘텀 n=43, threshold=0.13 |
-0.3% | -13.5% | -0.13 | -0.02 | 0.9x | 26 | 1% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=2.1 |
-2.5% | -59.9% | -0.31 | -0.04 | 0.4x | 152 | 34% |
| MACD fast=21, slow=72, signal=21 |
-3.7% | -75.2% | -0.35 | -0.05 | 0.3x | 282 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.1% | -75.1% | -0.38 | -0.05 | 0.2x | 256 | 57% |
| Buy and hold | -1.2% | -50.1% | -0.01 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 103 days
- Sell — Sell when price breaks below the lowest low of the last 99 days