Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock Enhanced Equity Dividend Trust backtest
10 trend-following strategies were compared on the full daily history of Blackrock Enhanced Equity Dividend Trust. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -9.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.1%, drawdown -67.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -19.4%, Sharpe 0.14, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 0.2%, MDD -9.9%, 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=86, threshold=0.14 |
0.5% | -19.4% | 0.14 | 0.03 | 1.1x | 42 | 5% |
| ADX / DI 방향성 period=23, threshold=30 |
0.2% | -9.9% | 0.12 | 0.02 | 1.0x | 8 | 1% |
| SMA 크로스오버 fast=63, slow=169 |
-0.7% | -50.8% | -0.00 | -0.01 | 0.9x | 33 | 51% |
| EMA 크로스오버 fast=59, slow=169 |
-0.7% | -37.3% | -0.01 | -0.02 | 0.9x | 27 | 53% |
| 볼린저 밴드 돌파 n=77, k=2.6 |
-0.2% | -21.3% | -0.03 | -0.01 | 1.0x | 18 | 11% |
| Donchian 채널 돌파 entryN=68, exitN=100 |
-0.9% | -36.4% | -0.03 | -0.02 | 0.8x | 29 | 56% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=3.5 |
-1.7% | -39.4% | -0.26 | -0.04 | 0.7x | 43 | 17% |
| MACD fast=19, slow=22, signal=19 |
-3.9% | -57.9% | -0.27 | -0.07 | 0.4x | 260 | 49% |
| Supertrend period=8, mult=3.4 |
-3.9% | -60.9% | -0.29 | -0.06 | 0.4x | 131 | 57% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-8.7% | -85.8% | -0.64 | -0.10 | 0.1x | 370 | 54% |
| Buy and hold | -2.1% | -67.4% | 0.01 | -0.03 | 0.6x | 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 86-day return is greater than 14%
- Sell — Sell when the 86-day return drops to 14% or below