Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock Corporate High Yield Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blackrock Corporate High Yield Fund, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -15.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.5%, drawdown -67.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.7%, MDD -20.0%, Sharpe 0.24, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR -0.3%, MDD -15.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=26, slow=138 |
1.7% | -20.0% | 0.24 | 0.08 | 1.5x | 36 | 51% |
| SMA 크로스오버 fast=18, slow=137 |
1.5% | -21.3% | 0.22 | 0.07 | 1.4x | 44 | 51% |
| Donchian 채널 돌파 entryN=98, exitN=55 |
0.6% | -25.9% | 0.12 | 0.02 | 1.2x | 34 | 42% |
| ROC 모멘텀 n=26, threshold=0.12 |
0.3% | -17.5% | 0.11 | 0.02 | 1.1x | 36 | 2% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
-0.1% | -17.6% | -0.01 | -0.00 | 1.0x | 22 | 8% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=4 |
-0.3% | -26.3% | -0.04 | -0.01 | 0.9x | 26 | 10% |
| ADX / DI 방향성 period=45, threshold=19 |
-0.3% | -15.0% | -0.10 | -0.02 | 0.9x | 24 | 3% |
| Supertrend period=8, mult=3.3 |
-1.6% | -59.5% | -0.15 | -0.03 | 0.7x | 138 | 48% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-5.9% | -75.5% | -0.55 | -0.08 | 0.2x | 292 | 53% |
| MACD fast=17, slow=29, signal=15 |
-7.8% | -85.9% | -0.73 | -0.09 | 0.2x | 328 | 51% |
| Buy and hold | -2.5% | -67.6% | -0.05 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 26-day EMA crosses above the 138-day EMA
- Sell — Sell when the 26-day EMA falls below the 138-day EMA