Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock MuniYield New York Quality Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blackrock MuniYield New York Quality Fund, Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.4%, MDD -11.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -57.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -11.2%, Sharpe 0.15, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 46.7%p (CAGR 0.4%, MDD -11.2%, 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=9, threshold=0.09 |
0.4% | -11.2% | 0.15 | 0.03 | 1.1x | 18 | 0% |
| Donchian 채널 돌파 entryN=41, exitN=81 |
0.2% | -44.6% | 0.07 | 0.01 | 1.1x | 61 | 66% |
| Supertrend period=16, mult=4.1 |
-0.1% | -41.1% | 0.03 | -0.00 | 1.0x | 118 | 52% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=10, mult=3.2 |
0.0% | -14.6% | 0.01 | 0.00 | 1.0x | 40 | 6% |
| SMA 크로스오버 fast=28, slow=160 |
-0.4% | -40.9% | -0.01 | -0.01 | 0.9x | 64 | 52% |
| EMA 크로스오버 fast=19, slow=66 |
-0.6% | -40.0% | -0.03 | -0.01 | 0.8x | 118 | 54% |
| ADX / DI 방향성 period=28, threshold=33 |
-0.1% | -14.1% | -0.09 | -0.01 | 1.0x | 14 | 1% |
| MACD fast=52, slow=74, signal=37 |
-1.5% | -50.5% | -0.14 | -0.03 | 0.6x | 160 | 52% |
| 볼린저 밴드 돌파 n=57, k=3 |
-0.7% | -25.5% | -0.16 | -0.03 | 0.8x | 40 | 11% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.1% | -67.3% | -0.33 | -0.05 | 0.3x | 270 | 54% |
| Buy and hold | -1.2% | -57.9% | -0.03 | -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 9-day return is greater than 9%
- Sell — Sell when the 9-day return drops to 9% or below