Trend-Following Backtester · Guide · backtest 한국어
etf · GB
BlackRock American Income Trust plc GBP backtest
10 trend-following strategies were compared on the full daily history of BlackRock American Income Trust plc GBP. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.5%, drawdown -46.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.1%, MDD -22.6%, Sharpe 0.53, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% n=5, threshold=-0.08 |
8.1% | -22.6% | 0.53 | 0.36 | 2.9x | 13 | 99% |
| Supertrend period=21, mult=4 |
4.7% | -24.0% | 0.42 | 0.20 | 1.9x | 41 | 60% |
| 볼린저 밴드 돌파 n=15, k=2.8 |
1.1% | -12.0% | 0.32 | 0.09 | 1.2x | 18 | 6% |
| SMA 크로스오버 fast=41, slow=165 |
3.4% | -35.5% | 0.31 | 0.10 | 1.6x | 23 | 61% |
| EMA 크로스오버 fast=46, slow=241 |
3.3% | -31.1% | 0.30 | 0.11 | 1.6x | 17 | 66% |
| Donchian 채널 돌파 entryN=89, exitN=19 |
1.2% | -34.9% | 0.17 | 0.04 | 1.2x | 41 | 38% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=35, mult=3.2 |
0.5% | -19.5% | 0.10 | 0.02 | 1.1x | 27 | 21% |
| ADX / DI 방향성 period=14, threshold=36 |
-0.4% | -12.7% | -0.14 | -0.03 | 1.0x | 24 | 4% |
| MACD fast=18, slow=34, signal=13 |
-4.4% | -56.6% | -0.30 | -0.08 | 0.5x | 198 | 50% |
| Parabolic SAR step=0.01, maxStep=0.44 |
-5.5% | -66.3% | -0.36 | -0.08 | 0.5x | 204 | 58% |
| Buy and hold | 7.5% | -46.1% | 0.48 | 0.16 | 2.7x | 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 5-day return is greater than -8%
- Sell — Sell when the 5-day return drops to -8% or below