Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Nuveen ICE Municipal Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Nuveen ICE Municipal Bond ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -1.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.0%, drawdown -18.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -1.6%, Sharpe 0.11, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 16.7%p (CAGR 0.1%, MDD -1.6%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=4, threshold=0.08 |
0.1% | -1.6% | 0.11 | 0.04 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
0.0% | -1.0% | 0.10 | 0.03 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=53, exitN=72 |
0.0% | -19.5% | 0.02 | 0.00 | 1.0x | 34 | 59% |
| SMA 크로스오버 fast=46, slow=129 |
-0.0% | -16.6% | 0.02 | -0.00 | 1.0x | 34 | 56% |
| ADX / DI 방향성 period=59, threshold=23 |
-0.1% | -5.5% | -0.07 | -0.02 | 1.0x | 14 | 8% |
| Supertrend period=29, mult=4.7 |
-1.0% | -18.4% | -0.24 | -0.05 | 0.8x | 74 | 58% |
| EMA 크로스오버 fast=31, slow=66 |
-1.1% | -24.8% | -0.28 | -0.05 | 0.8x | 54 | 57% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=15, mult=4 |
-0.5% | -9.2% | -0.34 | -0.05 | 0.9x | 28 | 10% |
| MACD fast=24, slow=52, signal=21 |
-1.9% | -31.3% | -0.50 | -0.06 | 0.7x | 142 | 53% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.2% | -46.1% | -0.80 | -0.07 | 0.5x | 160 | 56% |
| Buy and hold | 0.0% | -18.3% | 0.04 | 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 4-day return is greater than 8%
- Sell — Sell when the 4-day return drops to 8% or below