Trend-Following Backtester · Guide · backtest 한국어
etf · US
NYLIM MacKay Muni Intermediate ETF backtest
10 trend-following strategies were compared on the full daily history of NYLIM MacKay Muni Intermediate ETF. 5 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 0.2%, MDD -2.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.6%, drawdown -14.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -2.9%, Sharpe 0.21, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 11.5%p (CAGR 0.2%, MDD -2.9%, exposure 12%).
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=38, threshold=34 |
0.2% | -2.9% | 0.21 | 0.07 | 1.0x | 6 | 12% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
0.1% | -4.1% | 0.12 | 0.03 | 1.0x | 8 | 5% |
| SMA 크로스오버 fast=54, slow=133 |
-0.1% | -8.8% | -0.06 | -0.02 | 1.0x | 12 | 46% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.07 |
-0.6% | -14.5% | -0.13 | -0.04 | 0.9x | 3 | 100% |
| Donchian 채널 돌파 entryN=118, exitN=17 |
-0.2% | -6.9% | -0.13 | -0.03 | 1.0x | 12 | 20% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=23, mult=3.2 |
-0.3% | -5.3% | -0.19 | -0.06 | 1.0x | 20 | 22% |
| EMA 크로스오버 fast=49, slow=104 |
-0.6% | -12.1% | -0.25 | -0.05 | 0.9x | 14 | 49% |
| Supertrend period=18, mult=2.9 |
-0.8% | -9.4% | -0.28 | -0.09 | 0.9x | 52 | 58% |
| MACD fast=20, slow=59, signal=21 |
-2.1% | -17.3% | -0.77 | -0.12 | 0.8x | 62 | 53% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-3.8% | -29.0% | -1.32 | -0.13 | 0.7x | 94 | 50% |
| Buy and hold | -0.6% | -14.5% | -0.12 | -0.04 | 0.9x | 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, 38-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)