Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Managed Municipal ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Managed Municipal ETF. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -2.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.0%, drawdown -16.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -2.5%, Sharpe 0.37, 7% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 0.3%, MDD -2.5%, exposure 7%).
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=45, k=3.5 |
0.3% | -2.5% | 0.37 | 0.11 | 1.0x | 4 | 7% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=3.2 |
0.1% | -5.0% | 0.05 | 0.02 | 1.0x | 28 | 32% |
| Supertrend period=25, mult=4.8 |
-0.0% | -10.6% | 0.00 | -0.00 | 1.0x | 42 | 60% |
| SMA 크로스오버 fast=44, slow=128 |
-0.3% | -14.1% | -0.06 | -0.02 | 1.0x | 22 | 54% |
| Donchian 채널 돌파 entryN=81, exitN=21 |
-0.2% | -7.3% | -0.10 | -0.03 | 1.0x | 30 | 31% |
| ROC 모멘텀 n=132, threshold=-0.04 |
-0.8% | -16.4% | -0.20 | -0.05 | 0.9x | 23 | 85% |
| EMA 크로스오버 fast=40, slow=69 |
-0.8% | -18.9% | -0.24 | -0.04 | 0.9x | 28 | 59% |
| ADX / DI 방향성 period=29, threshold=40 |
-0.3% | -3.9% | -0.50 | -0.08 | 1.0x | 8 | 3% |
| MACD fast=22, slow=58, signal=15 |
-2.5% | -26.8% | -0.88 | -0.09 | 0.7x | 106 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.9% | -29.8% | -1.00 | -0.10 | 0.7x | 104 | 57% |
| Buy and hold | -0.0% | -16.8% | 0.02 | -0.00 | 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 45-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 45-day middle average