Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen Quality Municipal Income Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen Quality Municipal Income Fund. 8 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 0.1%, MDD -2.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.9%, drawdown -51.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.1%, MDD -2.2%, Sharpe 0.21, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.9%, MDD -32.6%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 49.7%p (CAGR 0.1%, MDD -2.2%, exposure 0%).
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=14, k=3.4 |
0.1% | -2.2% | 0.21 | 0.06 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=12, threshold=0.12 |
0.4% | -5.6% | 0.20 | 0.07 | 1.1x | 12 | 0% |
| SMA 크로스오버 fast=61, slow=123 |
0.9% | -32.6% | 0.15 | 0.03 | 1.3x | 44 | 53% |
| Donchian 채널 돌파 entryN=85, exitN=74 |
0.8% | -31.9% | 0.15 | 0.02 | 1.2x | 40 | 51% |
| EMA 크로스오버 fast=41, slow=54 |
0.3% | -37.6% | 0.08 | 0.01 | 1.1x | 66 | 55% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.7 |
0.1% | -6.6% | 0.05 | 0.01 | 1.0x | 14 | 2% |
| ADX / DI 방향성 period=37, threshold=21 |
-0.3% | -15.0% | -0.08 | -0.02 | 0.9x | 48 | 9% |
| Supertrend period=8, mult=3.9 |
-0.8% | -31.8% | -0.08 | -0.03 | 0.8x | 124 | 57% |
| MACD fast=24, slow=57, signal=23 |
-2.3% | -51.8% | -0.26 | -0.04 | 0.5x | 218 | 51% |
| Parabolic SAR step=0.04, maxStep=0.04 |
-4.2% | -69.7% | -0.52 | -0.06 | 0.3x | 312 | 58% |
| Buy and hold | -0.9% | -51.9% | -0.00 | -0.02 | 0.8x | 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 14-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 14-day middle average