Trend-Following Backtester · Guide · backtest 한국어
etf · US
Columbia Multi-Sector Municipal Income ETF backtest
10 trend-following strategies were compared on the full daily history of Columbia Multi-Sector Municipal Income ETF. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.6%, drawdown -16.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -1.2%, Sharpe 0.67, 9% exposure.
CAGR reference leader: Supertrend — CAGR 0.8%, MDD -8.9%, exposure 61%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 0.3%, 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=31, k=3.5 |
0.7% | -1.2% | 0.67 | 0.63 | 1.1x | 2 | 9% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=3.3 |
0.8% | -2.2% | 0.56 | 0.36 | 1.1x | 6 | 13% |
| ROC 모멘텀 n=1, threshold=0.02 |
0.3% | -0.5% | 0.37 | 0.68 | 1.0x | 4 | 0% |
| Supertrend period=28, mult=4.8 |
0.8% | -8.9% | 0.26 | 0.09 | 1.1x | 16 | 61% |
| ADX / DI 방향성 period=39, threshold=35 |
0.2% | -4.1% | 0.12 | 0.04 | 1.0x | 8 | 14% |
| SMA 크로스오버 fast=40, slow=140 |
-0.7% | -13.2% | -0.15 | -0.05 | 0.9x | 14 | 48% |
| Donchian 채널 돌파 entryN=18, exitN=39 |
-1.0% | -14.9% | -0.26 | -0.07 | 0.9x | 26 | 55% |
| EMA 크로스오버 fast=32, slow=98 |
-1.4% | -16.7% | -0.40 | -0.08 | 0.9x | 18 | 53% |
| MACD fast=28, slow=39, signal=29 |
-1.5% | -12.3% | -0.41 | -0.12 | 0.9x | 52 | 48% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.8% | -23.6% | -0.73 | -0.12 | 0.8x | 60 | 53% |
| Buy and hold | -0.6% | -16.9% | -0.08 | -0.04 | 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 31-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 31-day middle average