Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen California AMT-Free Quality Municipal Income Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen California AMT-Free 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 볼린저 밴드 돌파 (CAGR -0.3%, MDD -15.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -49.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.1%, MDD -33.1%, Sharpe 0.18, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR -0.3%, MDD -15.4%, exposure 2%).
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=79, exitN=72 |
1.1% | -33.1% | 0.18 | 0.03 | 1.3x | 32 | 50% |
| SMA 크로스오버 fast=72, slow=161 |
0.3% | -29.1% | 0.08 | 0.01 | 1.1x | 36 | 53% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.07 |
0.1% | -45.4% | 0.07 | 0.00 | 1.0x | 27 | 99% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=4 |
-0.2% | -22.6% | -0.02 | -0.01 | 0.9x | 52 | 22% |
| EMA 크로스오버 fast=55, slow=143 |
-0.9% | -37.5% | -0.05 | -0.02 | 0.8x | 34 | 54% |
| ADX / DI 방향성 period=39, threshold=15 |
-0.8% | -28.2% | -0.09 | -0.03 | 0.8x | 116 | 32% |
| Supertrend period=12, mult=3 |
-1.3% | -48.0% | -0.10 | -0.03 | 0.7x | 182 | 55% |
| 볼린저 밴드 돌파 n=24, k=3 |
-0.3% | -15.4% | -0.11 | -0.02 | 0.9x | 16 | 2% |
| MACD fast=17, slow=57, signal=15 |
-2.6% | -56.1% | -0.24 | -0.05 | 0.5x | 260 | 52% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-4.4% | -70.4% | -0.43 | -0.06 | 0.3x | 196 | 56% |
| Buy and hold | -0.9% | -49.0% | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 72 days