Trend-Following Backtester · Guide · backtest 한국어

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Nuveen Floating Rate Income Fund backtest

10 trend-following strategies were compared on the full daily history of Nuveen Floating Rate Income Fund. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -3.6%).

Data 2004-03-25 ~ 2026-07-31daily bars 5,623 (22.3 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -3.2%, drawdown -70.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.7%, MDD -11.3%, Sharpe 0.61, 4% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 3.0%, MDD -17.0%, exposure 42%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 59.0%p (CAGR 0.5%, MDD -3.6%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=131, threshold=0.24
1.7%-11.3%0.610.151.5x144%
Donchian 채널 돌파
entryN=102, exitN=93
3.0%-17.0%0.450.182.0x1842%
Keltner 채널 돌파
emaPeriod=71, atrPeriod=24, mult=4
2.0%-22.1%0.430.091.6x2417%
ADX / DI 방향성
period=21, threshold=47
0.5%-3.6%0.380.131.1x41%
볼린저 밴드 돌파
n=52, k=2.7
1.2%-14.9%0.320.081.3x2412%
EMA 크로스오버
fast=19, slow=160
2.1%-17.9%0.310.121.6x3842%
SMA 크로스오버
fast=18, slow=219
1.6%-19.5%0.240.081.4x2640%
Supertrend
period=9, mult=4.8
-0.3%-44.2%0.00-0.010.9x6350%
Parabolic SAR
step=0.005, maxStep=0.32
-3.4%-55.9%-0.30-0.060.5x17056%
MACD
fast=17, slow=29, signal=17
-6.0%-75.3%-0.56-0.080.3x30053%
Buy and hold-3.2%-70.3%-0.10-0.050.5x1100%
1x 2005 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파ROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -18% -35% -53% -70% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파ROC 모멘텀
ROC 모멘텀 maximum drawdown -11.3% (2010-04-14 → 2020-09-25), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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