Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin Dynamic Municipal Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin Dynamic Municipal Bond ETF. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.6%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.2%, drawdown -17.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -2.0%, Sharpe 0.64, 12% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.7%, MDD -2.8%, exposure 18%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 0.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.2 |
0.6% | -2.0% | 0.64 | 0.28 | 1.1x | 8 | 12% |
| ADX / DI 방향성 period=39, threshold=37 |
0.7% | -2.8% | 0.49 | 0.24 | 1.1x | 8 | 18% |
| ROC 모멘텀 n=2, threshold=0.02 |
0.6% | -0.5% | 0.42 | 1.02 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=7, mult=2.4 |
0.4% | -4.8% | 0.20 | 0.08 | 1.0x | 32 | 35% |
| Donchian 채널 돌파 entryN=97, exitN=24 |
0.2% | -5.0% | 0.15 | 0.05 | 1.0x | 12 | 25% |
| SMA 크로스오버 fast=53, slow=245 |
-0.2% | -13.6% | -0.04 | -0.02 | 1.0x | 9 | 56% |
| MACD fast=12, slow=63, signal=29 |
-0.5% | -9.1% | -0.16 | -0.06 | 1.0x | 54 | 51% |
| Supertrend period=15, mult=3.9 |
-0.6% | -8.8% | -0.20 | -0.07 | 0.9x | 44 | 57% |
| EMA 크로스오버 fast=57, slow=87 |
-0.8% | -11.2% | -0.24 | -0.07 | 0.9x | 16 | 54% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-2.2% | -18.1% | -0.72 | -0.12 | 0.8x | 90 | 52% |
| Buy and hold | -0.2% | -17.3% | -0.02 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 25-day middle average