Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen AMT-Free Quality Municipal Income Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen AMT-Free Quality Municipal Income Fund. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.4%, MDD -1.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.2%, drawdown -48.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -1.9%, Sharpe 0.32, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 0.4%, MDD -1.9%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=7, threshold=0.14 |
0.4% | -1.9% | 0.32 | 0.22 | 1.1x | 10 | 0% |
| SMA 크로스오버 fast=54, slow=161 |
0.3% | -30.7% | 0.08 | 0.01 | 1.1x | 32 | 53% |
| Donchian 채널 돌파 entryN=114, exitN=59 |
0.0% | -22.6% | 0.03 | 0.00 | 1.0x | 32 | 40% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=3.6 |
-0.0% | -9.2% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| ADX / DI 방향성 period=33, threshold=37 |
-0.0% | -3.9% | -0.09 | -0.01 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=45, slow=67 |
-1.3% | -50.9% | -0.11 | -0.02 | 0.7x | 52 | 56% |
| Supertrend period=16, mult=4.5 |
-1.7% | -42.1% | -0.14 | -0.04 | 0.7x | 86 | 60% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
-0.3% | -10.9% | -0.17 | -0.03 | 0.9x | 4 | 1% |
| MACD fast=24, slow=41, signal=24 |
-3.7% | -62.0% | -0.38 | -0.06 | 0.4x | 200 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.0% | -73.2% | -0.49 | -0.07 | 0.3x | 200 | 57% |
| Buy and hold | -1.2% | -48.2% | -0.01 | -0.03 | 0.8x | 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 7-day return is greater than 14%
- Sell — Sell when the 7-day return drops to 14% or below