Trend-Following Backtester · Guide · backtest 한국어
etf · US
BlackRock Credit Allocation Income Trust backtest
10 trend-following strategies were compared on the full daily history of BlackRock Credit Allocation Income Trust. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.4%, MDD -14.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.6%, drawdown -80.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.2%, MDD -15.3%, Sharpe 0.27, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.6%, MDD -27.0%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 65.0%p (CAGR 1.4%, MDD -14.7%, exposure 22%).
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=18, threshold=0.13 |
1.2% | -15.3% | 0.27 | 0.08 | 1.3x | 22 | 2% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=8, mult=3.6 |
1.4% | -14.7% | 0.26 | 0.09 | 1.3x | 40 | 22% |
| Donchian 채널 돌파 entryN=73, exitN=61 |
1.6% | -27.0% | 0.25 | 0.06 | 1.4x | 28 | 46% |
| EMA 크로스오버 fast=25, slow=131 |
1.0% | -24.7% | 0.16 | 0.04 | 1.2x | 32 | 50% |
| SMA 크로스오버 fast=12, slow=145 |
0.9% | -27.9% | 0.15 | 0.03 | 1.2x | 42 | 49% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
0.2% | -30.3% | 0.06 | 0.01 | 1.0x | 94 | 38% |
| Supertrend period=28, mult=4.6 |
-0.5% | -51.7% | 0.01 | -0.01 | 0.9x | 60 | 54% |
| ADX / DI 방향성 period=38, threshold=12 |
-0.8% | -32.0% | -0.08 | -0.03 | 0.8x | 114 | 33% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-3.6% | -60.8% | -0.26 | -0.06 | 0.5x | 260 | 52% |
| MACD fast=17, slow=55, signal=19 |
-3.7% | -59.5% | -0.27 | -0.06 | 0.5x | 178 | 50% |
| Buy and hold | -4.6% | -80.3% | -0.12 | -0.06 | 0.4x | 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 18-day return is greater than 13%
- Sell — Sell when the 18-day return drops to 13% or below