Trend-Following Backtester · Guide · backtest 한국어
etf · US
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%).
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=131, threshold=0.24 |
1.7% | -11.3% | 0.61 | 0.15 | 1.5x | 14 | 4% |
| Donchian 채널 돌파 entryN=102, exitN=93 |
3.0% | -17.0% | 0.43 | 0.17 | 1.9x | 19 | 42% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=24, mult=4 |
2.0% | -22.1% | 0.43 | 0.09 | 1.6x | 24 | 17% |
| ADX / DI 방향성 period=21, threshold=47 |
0.5% | -3.6% | 0.38 | 0.13 | 1.1x | 4 | 1% |
| EMA 크로스오버 fast=19, slow=160 |
1.9% | -17.9% | 0.29 | 0.11 | 1.5x | 40 | 42% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
1.0% | -14.9% | 0.29 | 0.07 | 1.3x | 26 | 12% |
| SMA 크로스오버 fast=18, slow=219 |
1.4% | -19.5% | 0.22 | 0.07 | 1.4x | 28 | 40% |
| Supertrend period=9, mult=4.8 |
-0.5% | -44.2% | -0.01 | -0.01 | 0.9x | 64 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.5% | -55.9% | -0.31 | -0.06 | 0.5x | 172 | 56% |
| MACD fast=17, slow=29, signal=17 |
-6.1% | -75.4% | -0.57 | -0.08 | 0.2x | 302 | 53% |
| Buy and hold | -3.2% | -70.3% | -0.10 | -0.05 | 0.5x | 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 131-day return is greater than 24%
- Sell — Sell when the 131-day return drops to 24% or below