Trend-Following Backtester · Guide · backtest 한국어
equity · US
BlackRock, Inc. backtest
10 trend-following strategies were compared on the full daily history of BlackRock, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -60.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -69.3%, Sharpe 0.58, 89% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=79 |
13.5% | -69.3% | 0.58 | 0.19 | 29.8x | 65 | 89% |
| ROC 모멘텀 n=103, threshold=-0.12 |
12.1% | -48.8% | 0.56 | 0.25 | 21.4x | 107 | 87% |
| 볼린저 밴드 돌파 n=81, k=2 |
8.7% | -35.8% | 0.55 | 0.24 | 9.3x | 74 | 45% |
| SMA 크로스오버 fast=56, slow=130 |
10.9% | -51.5% | 0.55 | 0.21 | 16.0x | 51 | 67% |
| EMA 크로스오버 fast=52, slow=94 |
10.3% | -42.7% | 0.53 | 0.24 | 13.9x | 47 | 72% |
| Supertrend period=11, mult=4.7 |
8.9% | -44.0% | 0.49 | 0.20 | 9.8x | 97 | 61% |
| ADX / DI 방향성 period=39, threshold=27 |
4.0% | -20.2% | 0.45 | 0.20 | 2.8x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=2.5 |
6.0% | -47.8% | 0.40 | 0.13 | 4.8x | 130 | 45% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.1% | -75.6% | 0.12 | 0.00 | 1.0x | 241 | 59% |
| MACD fast=11, slow=29, signal=11 |
-0.6% | -73.5% | 0.08 | -0.01 | 0.8x | 481 | 48% |
| Buy and hold | 17.6% | -60.7% | 0.65 | 0.29 | 76.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 79 days