Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen California Quality Municipal Income Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen California Quality Municipal Income Fund. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -6.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.0%, drawdown -53.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.8%, MDD -51.7%, Sharpe 0.13, 80% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 2.0%p (CAGR 0.0%, MDD -6.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=10, exitN=45 |
0.8% | -51.7% | 0.13 | 0.02 | 1.2x | 101 | 80% |
| 볼린저 밴드 돌파 n=13, k=2.7 |
0.2% | -8.8% | 0.12 | 0.02 | 1.1x | 30 | 3% |
| SMA 크로스오버 fast=16, slow=101 |
0.2% | -37.3% | 0.07 | 0.01 | 1.1x | 83 | 55% |
| ADX / DI 방향성 period=50, threshold=27 |
0.0% | -6.4% | 0.05 | 0.00 | 1.0x | 4 | 1% |
| EMA 크로스오버 fast=39, slow=81 |
-0.2% | -46.4% | 0.02 | -0.00 | 1.0x | 57 | 55% |
| ROC 모멘텀 n=29, threshold=0.14 |
-0.2% | -11.1% | -0.08 | -0.01 | 1.0x | 22 | 1% |
| Supertrend period=23, mult=4.9 |
-1.2% | -57.7% | -0.09 | -0.02 | 0.7x | 86 | 52% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=26, mult=3.8 |
-0.7% | -22.6% | -0.12 | -0.03 | 0.8x | 56 | 23% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.9% | -55.2% | -0.29 | -0.05 | 0.5x | 350 | 55% |
| MACD fast=15, slow=61, signal=20 |
-2.8% | -56.3% | -0.30 | -0.05 | 0.5x | 282 | 53% |
| Buy and hold | -1.0% | -53.7% | 0.01 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 10 days
- Sell — Sell when price breaks below the lowest low of the last 45 days