Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock MuniHoldings Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blackrock MuniHoldings Fund, Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -5.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.0%, drawdown -52.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.6%, MDD -6.3%, Sharpe 0.25, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.9%, MDD -31.9%, exposure 68%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 0.1%, MDD -5.6%, 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=4, threshold=0.08 |
0.6% | -6.3% | 0.25 | 0.10 | 1.2x | 12 | 0% |
| Donchian 채널 돌파 entryN=19, exitN=44 |
0.9% | -31.9% | 0.14 | 0.03 | 1.3x | 105 | 68% |
| Supertrend period=6, mult=4.5 |
0.4% | -25.3% | 0.09 | 0.01 | 1.1x | 107 | 54% |
| ADX / DI 방향성 period=37, threshold=39 |
0.1% | -5.6% | 0.07 | 0.01 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=45, slow=114 |
-0.4% | -43.4% | 0.00 | -0.01 | 0.9x | 65 | 54% |
| EMA 크로스오버 fast=29, slow=46 |
-0.4% | -37.6% | -0.01 | -0.01 | 0.9x | 106 | 56% |
| 볼린저 밴드 돌파 n=54, k=1.1 |
-0.5% | -26.2% | -0.04 | -0.02 | 0.9x | 162 | 44% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=2.5 |
-0.8% | -38.1% | -0.10 | -0.02 | 0.8x | 122 | 36% |
| MACD fast=27, slow=59, signal=19 |
-3.3% | -63.5% | -0.37 | -0.05 | 0.4x | 252 | 53% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.1% | -70.5% | -0.45 | -0.06 | 0.3x | 228 | 55% |
| Buy and hold | -1.0% | -52.7% | -0.00 | -0.02 | 0.7x | 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 4-day return is greater than 8%
- Sell — Sell when the 4-day return drops to 8% or below