Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen Credit Strategies Income Fund Shares of Beneficial Interest backtest
10 trend-following strategies were compared on the full daily history of Nuveen Credit Strategies Income Fund Shares of Beneficial Interest. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -1.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.9%, drawdown -81.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.7%, MDD -20.0%, Sharpe 0.35, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.7%, MDD -20.1%, exposure 34%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 61.2%p (CAGR 0.1%, MDD -1.8%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=3.7 |
1.7% | -20.0% | 0.35 | 0.08 | 1.5x | 30 | 15% |
| Donchian 채널 돌파 entryN=105, exitN=72 |
1.7% | -20.1% | 0.28 | 0.09 | 1.5x | 24 | 34% |
| SMA 크로스오버 fast=10, slow=180 |
1.6% | -26.8% | 0.25 | 0.06 | 1.5x | 44 | 42% |
| ROC 모멘텀 n=23, threshold=0.11 |
1.2% | -15.0% | 0.24 | 0.08 | 1.3x | 26 | 2% |
| EMA 크로스오버 fast=11, slow=149 |
1.3% | -25.4% | 0.21 | 0.05 | 1.4x | 48 | 42% |
| ADX / DI 방향성 period=22, threshold=39 |
0.1% | -1.8% | 0.16 | 0.04 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=54, k=2.9 |
0.1% | -8.8% | 0.05 | 0.01 | 1.0x | 8 | 3% |
| Supertrend period=20, mult=4.4 |
-2.7% | -57.3% | -0.22 | -0.05 | 0.5x | 84 | 49% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-5.1% | -70.7% | -0.38 | -0.07 | 0.3x | 290 | 54% |
| MACD fast=18, slow=45, signal=13 |
-5.8% | -76.1% | -0.45 | -0.08 | 0.2x | 292 | 51% |
| Buy and hold | -4.9% | -81.2% | -0.12 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 53-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 53-day average