Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen Select Tax Free Income Portfolio backtest
10 trend-following strategies were compared on the full daily history of Nuveen Select Tax Free Income Portfolio. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -2.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.3%, drawdown -31.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.8%, Sharpe 0.21, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 0.1%, MDD -2.8%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=38 |
0.1% | -2.8% | 0.21 | 0.05 | 1.1x | 4 | 1% |
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.1 |
-0.3% | -31.0% | 0.03 | -0.01 | 0.9x | 3 | 100% |
| SMA 크로스오버 fast=77, slow=191 |
-0.7% | -33.5% | -0.03 | -0.02 | 0.8x | 50 | 58% |
| Donchian 채널 돌파 entryN=42, exitN=184 |
-0.9% | -37.9% | -0.04 | -0.02 | 0.7x | 44 | 77% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=13, mult=4 |
-0.1% | -5.7% | -0.11 | -0.02 | 1.0x | 4 | 0% |
| EMA 크로스오버 fast=49, slow=101 |
-1.7% | -52.6% | -0.16 | -0.03 | 0.5x | 70 | 58% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
-0.1% | -4.5% | -0.18 | -0.03 | 1.0x | 2 | 0% |
| Supertrend period=29, mult=4.9 |
-2.4% | -61.7% | -0.23 | -0.04 | 0.4x | 84 | 58% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-5.5% | -86.0% | -0.60 | -0.06 | 0.1x | 276 | 55% |
| MACD fast=38, slow=45, signal=29 |
-5.4% | -86.6% | -0.65 | -0.06 | 0.1x | 270 | 51% |
| Buy and hold | -0.3% | -31.0% | 0.04 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)