Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Nuveen ICE Short Term Municipal Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Nuveen ICE Short Term Municipal Bond ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.3%, drawdown -11.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -7.2%, Sharpe 0.04, 6% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=82, threshold=22 |
0.1% | -7.2% | 0.04 | 0.01 | 1.0x | 6 | 6% |
| ROC 모멘텀 Hold-like · Exposure 99% n=56, threshold=-0.06 |
-0.0% | -11.2% | 0.01 | -0.00 | 1.0x | 3 | 99% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=20, mult=4 |
-0.0% | -1.0% | -0.10 | -0.03 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
-0.1% | -1.5% | -0.20 | -0.05 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=78, slow=272 |
-0.6% | -17.7% | -0.21 | -0.03 | 0.9x | 20 | 57% |
| EMA 크로스오버 fast=57, slow=284 |
-0.7% | -16.9% | -0.27 | -0.04 | 0.9x | 20 | 59% |
| Supertrend period=29, mult=5 |
-0.6% | -11.4% | -0.32 | -0.06 | 0.9x | 46 | 58% |
| Donchian 채널 돌파 entryN=106, exitN=73 |
-1.0% | -17.8% | -0.75 | -0.06 | 0.8x | 26 | 29% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.0% | -53.7% | -1.69 | -0.07 | 0.5x | 164 | 55% |
| MACD fast=18, slow=42, signal=17 |
-4.3% | -56.8% | -1.71 | -0.08 | 0.4x | 194 | 51% |
| Buy and hold | 0.3% | -11.6% | 0.09 | 0.02 | 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, 82-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)