Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen Municipal Value Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nuveen Municipal Value Fund, Inc.. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.1%, MDD -3.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -35.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.1%, MDD -3.9%, Sharpe 0.07, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.1%, MDD -24.9%, exposure 75%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 0.1%, MDD -3.9%, 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=12, atrPeriod=18, mult=3.8 |
0.1% | -3.9% | 0.07 | 0.02 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=63, exitN=180 |
0.1% | -24.9% | 0.05 | 0.00 | 1.0x | 37 | 75% |
| ADX / DI 방향성 period=55, threshold=28 |
-0.0% | -7.2% | -0.01 | -0.00 | 1.0x | 6 | 1% |
| SMA 크로스오버 fast=41, slow=194 |
-0.7% | -40.7% | -0.04 | -0.02 | 0.7x | 67 | 58% |
| Supertrend period=19, mult=5 |
-1.1% | -48.2% | -0.08 | -0.02 | 0.7x | 75 | 55% |
| EMA 크로스오버 fast=45, slow=177 |
-1.1% | -47.5% | -0.09 | -0.02 | 0.7x | 63 | 58% |
| ROC 모멘텀 n=28, threshold=0.09 |
-0.1% | -6.1% | -0.10 | -0.02 | 0.9x | 14 | 0% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
-0.5% | -19.1% | -0.20 | -0.03 | 0.8x | 16 | 3% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.0% | -81.2% | -0.45 | -0.05 | 0.2x | 276 | 54% |
| MACD fast=37, slow=83, signal=27 |
-4.7% | -85.1% | -0.55 | -0.06 | 0.1x | 274 | 51% |
| Buy and hold | -0.2% | -35.4% | 0.04 | -0.01 | 0.9x | 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 12-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average