Trend-Following Backtester · Guide · backtest 한국어
etf · US
BlackRock Taxable Municipal Bond Trust backtest
10 trend-following strategies were compared on the full daily history of BlackRock Taxable Municipal Bond Trust. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.2%, MDD -2.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.5%, drawdown -47.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -2.7%, Sharpe 0.25, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.5%, MDD -25.1%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 0.2%, MDD -2.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=36, k=3.5 |
0.2% | -2.7% | 0.25 | 0.09 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=69, exitN=72 |
1.5% | -25.1% | 0.23 | 0.06 | 1.3x | 22 | 46% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=5, mult=3.4 |
1.1% | -17.1% | 0.22 | 0.07 | 1.2x | 32 | 29% |
| SMA 크로스오버 fast=41, slow=153 |
0.7% | -37.3% | 0.12 | 0.02 | 1.1x | 26 | 49% |
| EMA 크로스오버 fast=31, slow=114 |
0.5% | -35.1% | 0.11 | 0.02 | 1.1x | 32 | 48% |
| ROC 모멘텀 n=135, threshold=-0.04 |
-1.6% | -46.3% | -0.13 | -0.03 | 0.8x | 100 | 65% |
| Supertrend period=28, mult=5 |
-1.9% | -38.5% | -0.20 | -0.05 | 0.7x | 50 | 46% |
| ADX / DI 방향성 period=33, threshold=39 |
-0.2% | -3.8% | -0.36 | -0.06 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.9% | -50.7% | -0.42 | -0.08 | 0.5x | 126 | 52% |
| MACD fast=15, slow=49, signal=16 |
-6.9% | -69.5% | -0.73 | -0.10 | 0.3x | 193 | 55% |
| Buy and hold | -1.5% | -47.4% | -0.04 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 36-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 36-day middle average