Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen S&P 500 Dynamic Overwrite Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen S&P 500 Dynamic Overwrite Fund. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -7.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.4%, drawdown -60.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -7.5%, Sharpe 0.20, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.2%, MDD -29.5%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 0.4%, MDD -7.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=29 |
0.4% | -7.5% | 0.20 | 0.06 | 1.1x | 6 | 2% |
| SMA 크로스오버 fast=31, slow=185 |
1.2% | -29.5% | 0.17 | 0.04 | 1.3x | 33 | 57% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
0.4% | -7.5% | 0.17 | 0.05 | 1.1x | 2 | 2% |
| EMA 크로스오버 fast=47, slow=152 |
-0.1% | -26.6% | 0.05 | -0.00 | 1.0x | 37 | 56% |
| Donchian 채널 돌파 entryN=80, exitN=78 |
-1.0% | -38.6% | -0.05 | -0.03 | 0.8x | 33 | 52% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=19, mult=4 |
-0.4% | -19.2% | -0.15 | -0.02 | 0.9x | 10 | 3% |
| ROC 모멘텀 n=137, threshold=0.11 |
-1.1% | -27.0% | -0.17 | -0.04 | 0.8x | 104 | 14% |
| Supertrend period=6, mult=4.9 |
-2.3% | -50.8% | -0.23 | -0.05 | 0.6x | 69 | 42% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-7.0% | -77.7% | -0.58 | -0.09 | 0.2x | 304 | 58% |
| MACD fast=16, slow=36, signal=13 |
-6.7% | -77.8% | -0.58 | -0.09 | 0.2x | 296 | 52% |
| Buy and hold | -0.4% | -60.2% | 0.08 | -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, 27-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)