Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Short High Yield Muni ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Short High Yield Muni ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.1%, drawdown -31.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.5%, Sharpe 0.43, 0% exposure.
CAGR reference leader: Supertrend — CAGR 1.0%, MDD -10.5%, exposure 57%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 0.2%, MDD -0.5%, 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=43, threshold=0.1 |
0.2% | -0.5% | 0.43 | 0.46 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=19, k=2.9 |
0.2% | -3.0% | 0.30 | 0.08 | 1.0x | 6 | 3% |
| Supertrend period=26, mult=2.8 |
1.0% | -10.5% | 0.21 | 0.10 | 1.1x | 36 | 57% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=9, mult=2.9 |
-0.0% | -5.3% | -0.03 | -0.01 | 1.0x | 6 | 7% |
| Donchian 채널 돌파 entryN=15, exitN=61 |
-0.5% | -13.6% | -0.11 | -0.04 | 0.9x | 32 | 73% |
| SMA 크로스오버 fast=26, slow=132 |
-1.3% | -17.8% | -0.26 | -0.07 | 0.8x | 26 | 54% |
| EMA 크로스오버 fast=11, slow=192 |
-0.8% | -11.5% | -0.27 | -0.07 | 0.9x | 24 | 52% |
| ADX / DI 방향성 period=36, threshold=39 |
-0.1% | -1.7% | -0.36 | -0.08 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.5% | -28.5% | -0.55 | -0.09 | 0.7x | 90 | 53% |
| MACD fast=18, slow=58, signal=17 |
-2.7% | -29.7% | -0.73 | -0.09 | 0.7x | 114 | 50% |
| Buy and hold | -1.1% | -31.6% | -0.08 | -0.04 | 0.9x | 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 43-day return is greater than 10%
- Sell — Sell when the 43-day return drops to 10% or below