Trend-Following Backtester · Guide · backtest 한국어
etf · US
Blackrock MuniYield Quality Fund III, Inc backtest
10 trend-following strategies were compared on the full daily history of Blackrock MuniYield Quality Fund III, Inc. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -3.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.0%, drawdown -56.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -3.3%, Sharpe 0.23, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 0.3%, MDD -3.3%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=12, threshold=0.14 |
0.3% | -3.3% | 0.23 | 0.11 | 1.1x | 10 | 0% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=3.6 |
0.2% | -5.0% | 0.23 | 0.04 | 1.1x | 4 | 1% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
0.2% | -5.4% | 0.15 | 0.04 | 1.1x | 4 | 2% |
| SMA 크로스오버 fast=56, slow=161 |
0.3% | -36.1% | 0.08 | 0.01 | 1.1x | 46 | 55% |
| Donchian 채널 돌파 entryN=93, exitN=130 |
0.3% | -32.1% | 0.08 | 0.01 | 1.1x | 34 | 59% |
| Supertrend period=16, mult=4.3 |
0.3% | -29.2% | 0.08 | 0.01 | 1.1x | 110 | 53% |
| EMA 크로스오버 fast=58, slow=98 |
-0.3% | -42.1% | 0.00 | -0.01 | 0.9x | 54 | 56% |
| ADX / DI 방향성 period=18, threshold=39 |
-0.3% | -15.0% | -0.17 | -0.02 | 0.9x | 32 | 3% |
| MACD fast=25, slow=43, signal=21 |
-4.2% | -80.1% | -0.46 | -0.05 | 0.2x | 322 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.3% | -79.0% | -0.47 | -0.05 | 0.2x | 286 | 55% |
| Buy and hold | -1.0% | -56.0% | 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 12-day return is greater than 14%
- Sell — Sell when the 12-day return drops to 14% or below