Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Long Muni ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Long Muni ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.7%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.8%, drawdown -31.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -1.7%, Sharpe 0.37, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.9%, MDD -18.9%, exposure 60%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 0.7%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=3.3 |
0.2% | -1.7% | 0.37 | 0.12 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=1, threshold=0.06 |
0.7% | -0.5% | 0.36 | 1.50 | 1.1x | 4 | 0% |
| Donchian 채널 돌파 entryN=59, exitN=72 |
0.9% | -18.9% | 0.22 | 0.05 | 1.2x | 31 | 60% |
| ADX / DI 방향성 period=16, threshold=60 |
0.0% | -0.6% | 0.11 | 0.05 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=6, slow=173 |
0.3% | -25.9% | 0.09 | 0.01 | 1.1x | 42 | 59% |
| EMA 크로스오버 fast=46, slow=66 |
0.0% | -30.4% | 0.03 | 0.00 | 1.0x | 36 | 61% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=10, mult=4 |
-0.0% | -5.6% | 0.00 | -0.00 | 1.0x | 14 | 6% |
| Supertrend period=29, mult=4.1 |
-0.3% | -21.0% | -0.02 | -0.01 | 0.9x | 82 | 62% |
| MACD fast=28, slow=71, signal=15 |
-2.2% | -35.4% | -0.40 | -0.06 | 0.7x | 158 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-3.8% | -56.6% | -0.66 | -0.07 | 0.5x | 296 | 55% |
| Buy and hold | -0.8% | -31.3% | -0.05 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 32-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 32-day middle average