Trend-Following Backtester · Guide · backtest 한국어
etf · US
Short Term Municipal Bond Active Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of Short Term Municipal Bond Active Exchange-Traded Fund. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR -0.0%, drawdown -5.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -6.1%, Sharpe -0.02, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.1%, MDD -1.3%, exposure 0%.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=8, threshold=-0.04 |
-0.1% | -6.1% | -0.02 | -0.01 | 1.0x | 3 | 100% |
| ADX / DI 방향성 period=33, threshold=34 |
-0.1% | -2.4% | -0.30 | -0.06 | 1.0x | 6 | 6% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
-0.1% | -1.3% | -0.37 | -0.06 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=54, slow=201 |
-0.9% | -13.8% | -0.50 | -0.06 | 0.9x | 22 | 55% |
| Donchian 채널 돌파 entryN=21, exitN=77 |
-1.1% | -16.6% | -0.53 | -0.06 | 0.8x | 34 | 74% |
| EMA 크로스오버 fast=49, slow=84 |
-1.0% | -16.1% | -0.57 | -0.06 | 0.8x | 34 | 58% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=2.9 |
-0.5% | -7.2% | -0.63 | -0.06 | 0.9x | 20 | 10% |
| Supertrend period=15, mult=4.9 |
-1.0% | -15.5% | -0.66 | -0.07 | 0.8x | 30 | 40% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.5% | -44.6% | -1.75 | -0.08 | 0.6x | 122 | 46% |
| MACD fast=24, slow=45, signal=18 |
-6.3% | -66.4% | -2.69 | -0.10 | 0.3x | 205 | 51% |
| Buy and hold | -0.0% | -5.9% | 0.01 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -4%
- Sell — Sell when the 8-day return drops to -4% or below