Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck High Yield Muni ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck High Yield Muni ETF. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.0%, MDD -1.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.2%, drawdown -36.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -5.7%, Sharpe 0.37, 3% exposure.
CAGR reference leader: Supertrend — CAGR 0.7%, MDD -22.0%, exposure 67%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 0.0%, MDD -1.1%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=49, threshold=32 |
0.6% | -5.7% | 0.37 | 0.10 | 1.1x | 2 | 3% |
| Supertrend period=34, mult=4.3 |
0.7% | -22.0% | 0.15 | 0.03 | 1.1x | 62 | 67% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.0% | -1.1% | 0.10 | 0.03 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=28, slow=129 |
0.3% | -18.4% | 0.10 | 0.02 | 1.1x | 26 | 62% |
| Donchian 채널 돌파 entryN=12, exitN=40 |
0.3% | -20.6% | 0.09 | 0.01 | 1.1x | 58 | 78% |
| ROC 모멘텀 n=94, threshold=0.14 |
0.0% | -3.4% | 0.05 | 0.01 | 1.0x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=8, mult=4 |
0.0% | -7.9% | 0.02 | 0.00 | 1.0x | 18 | 8% |
| SMA 크로스오버 fast=32, slow=125 |
-0.6% | -26.0% | -0.07 | -0.02 | 0.9x | 33 | 62% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.4% | -44.9% | -0.49 | -0.05 | 0.7x | 136 | 57% |
| MACD fast=17, slow=47, signal=19 |
-2.7% | -46.5% | -0.58 | -0.06 | 0.6x | 172 | 50% |
| Buy and hold | -0.2% | -36.7% | 0.03 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 49-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)