Trend-Following Backtester · Guide · backtest 한국어
etf · US
Hartford Municipal Opportunities ETF backtest
10 trend-following strategies were compared on the full daily history of Hartford Municipal Opportunities ETF. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -1.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.6%, drawdown -16.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -1.2%, Sharpe 0.55, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 0.4%, MDD -1.2%, exposure 11%).
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=34, threshold=38 |
0.4% | -1.2% | 0.55 | 0.31 | 1.0x | 4 | 11% |
| 볼린저 밴드 돌파 n=49, k=2.9 |
0.3% | -3.9% | 0.28 | 0.07 | 1.0x | 6 | 13% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=2.5 |
0.1% | -5.2% | 0.06 | 0.02 | 1.0x | 22 | 27% |
| Donchian 채널 돌파 entryN=14, exitN=35 |
-0.1% | -6.9% | -0.03 | -0.02 | 1.0x | 30 | 59% |
| ROC 모멘텀 Hold-like · Exposure 97% n=71, threshold=-0.09 |
-0.6% | -17.7% | -0.13 | -0.04 | 0.9x | 3 | 97% |
| Supertrend period=34, mult=4.9 |
-0.7% | -11.2% | -0.25 | -0.06 | 0.9x | 32 | 50% |
| MACD fast=22, slow=49, signal=21 |
-0.7% | -11.9% | -0.26 | -0.06 | 0.9x | 58 | 53% |
| EMA 크로스오버 fast=55, slow=84 |
-1.0% | -14.9% | -0.35 | -0.07 | 0.9x | 14 | 51% |
| SMA 크로스오버 fast=25, slow=173 |
-1.5% | -18.7% | -0.48 | -0.08 | 0.9x | 14 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.5% | -17.1% | -0.58 | -0.09 | 0.9x | 62 | 49% |
| Buy and hold | -0.6% | -16.1% | -0.11 | -0.03 | 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, 34-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)