Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock MuniHoldings California Quality Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blackrock MuniHoldings California Quality Fund, Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.1%, MDD -9.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.2%, drawdown -56.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -11.5%, Sharpe 0.21, 0% exposure.
CAGR reference leader: Supertrend — CAGR 0.7%, MDD -31.6%, exposure 61%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR -0.1%, MDD -9.4%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=8, threshold=0.11 |
0.5% | -11.5% | 0.21 | 0.04 | 1.1x | 14 | 0% |
| Supertrend period=58, mult=3.4 |
0.7% | -31.6% | 0.12 | 0.02 | 1.2x | 146 | 61% |
| SMA 크로스오버 fast=34, slow=262 |
0.1% | -30.7% | 0.05 | 0.00 | 1.0x | 35 | 52% |
| ADX / DI 방향성 period=17, threshold=33 |
-0.0% | -16.1% | -0.01 | -0.00 | 1.0x | 46 | 6% |
| 볼린저 밴드 돌파 n=15, k=2.8 |
-0.1% | -18.7% | -0.01 | -0.00 | 1.0x | 42 | 5% |
| EMA 크로스오버 fast=46, slow=169 |
-0.5% | -32.8% | -0.02 | -0.01 | 0.9x | 37 | 53% |
| Donchian 채널 돌파 entryN=60, exitN=77 |
-0.6% | -36.0% | -0.04 | -0.02 | 0.8x | 47 | 56% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=20, mult=3.7 |
-0.1% | -9.4% | -0.08 | -0.01 | 1.0x | 6 | 1% |
| MACD fast=31, slow=56, signal=40 |
-1.0% | -39.2% | -0.09 | -0.03 | 0.7x | 166 | 53% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-2.3% | -50.7% | -0.24 | -0.05 | 0.5x | 218 | 55% |
| Buy and hold | -1.2% | -56.6% | -0.02 | -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 8-day return is greater than 11%
- Sell — Sell when the 8-day return drops to 11% or below