Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Intermediate Muni ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Intermediate Muni ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.6%, MDD -5.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.5%, drawdown -24.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.6%, MDD -5.5%, Sharpe 0.28, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 0.6%, MDD -5.5%, 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=1, threshold=0.03 |
0.6% | -5.5% | 0.28 | 0.11 | 1.1x | 10 | 0% |
| 볼린저 밴드 돌파 n=25, k=3.3 |
0.1% | -1.7% | 0.25 | 0.08 | 1.0x | 6 | 2% |
| Donchian 채널 돌파 entryN=82, exitN=83 |
0.2% | -14.6% | 0.09 | 0.01 | 1.0x | 22 | 51% |
| Supertrend period=28, mult=4.8 |
0.1% | -15.9% | 0.04 | 0.01 | 1.0x | 72 | 60% |
| ADX / DI 방향성 period=39, threshold=38 |
0.0% | -5.1% | 0.02 | 0.00 | 1.0x | 6 | 6% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=18, mult=3.8 |
-0.0% | -7.7% | -0.01 | -0.00 | 1.0x | 20 | 8% |
| SMA 크로스오버 fast=56, slow=216 |
-0.5% | -24.7% | -0.06 | -0.02 | 0.9x | 22 | 59% |
| EMA 크로스오버 fast=55, slow=99 |
-0.7% | -28.3% | -0.12 | -0.02 | 0.9x | 30 | 60% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-1.3% | -24.1% | -0.31 | -0.05 | 0.8x | 134 | 57% |
| MACD fast=17, slow=62, signal=22 |
-2.0% | -32.8% | -0.47 | -0.06 | 0.7x | 150 | 53% |
| Buy and hold | 0.5% | -24.7% | 0.11 | 0.02 | 1.1x | 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 1-day return is greater than 3%
- Sell — Sell when the 1-day return drops to 3% or below