Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock Core Bond Trust backtest
10 trend-following strategies were compared on the full daily history of Blackrock Core Bond Trust. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.1%, drawdown -49.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -5.8%, Sharpe 0.29, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 0.0%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=3.5 |
0.4% | -5.8% | 0.29 | 0.07 | 1.1x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=23, mult=4 |
0.3% | -6.8% | 0.17 | 0.04 | 1.1x | 10 | 4% |
| ADX / DI 방향성 period=50, threshold=33 |
0.0% | -0.5% | 0.13 | 0.08 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=26, threshold=0.1 |
0.2% | -7.1% | 0.09 | 0.03 | 1.0x | 18 | 1% |
| SMA 크로스오버 fast=38, slow=127 |
-1.2% | -46.7% | -0.09 | -0.02 | 0.8x | 54 | 49% |
| Donchian 채널 돌파 entryN=74, exitN=64 |
-1.0% | -35.8% | -0.09 | -0.03 | 0.8x | 42 | 47% |
| Supertrend period=9, mult=3.1 |
-1.4% | -31.3% | -0.12 | -0.04 | 0.7x | 132 | 51% |
| EMA 크로스오버 fast=43, slow=80 |
-1.5% | -40.9% | -0.13 | -0.04 | 0.7x | 52 | 50% |
| MACD fast=19, slow=32, signal=16 |
-5.3% | -74.8% | -0.55 | -0.07 | 0.3x | 284 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.7% | -77.3% | -0.63 | -0.07 | 0.2x | 217 | 52% |
| Buy and hold | -2.1% | -49.4% | -0.09 | -0.04 | 0.6x | 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 38-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 38-day middle average