Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen ESG Large-Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Nuveen ESG Large-Cap Value ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -16.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -37.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -16.9%, Sharpe 0.66, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 20.1%p (CAGR 6.7%, MDD -16.9%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=34, slow=110 |
6.7% | -16.9% | 0.66 | 0.40 | 1.9x | 15 | 68% |
| EMA 크로스오버 fast=29, slow=105 |
5.7% | -18.2% | 0.58 | 0.31 | 1.7x | 19 | 70% |
| Donchian 채널 돌파 entryN=121, exitN=61 |
4.1% | -20.7% | 0.50 | 0.20 | 1.5x | 13 | 52% |
| Supertrend period=28, mult=4.9 |
2.6% | -30.9% | 0.29 | 0.08 | 1.3x | 47 | 69% |
| ROC 모멘텀 n=129, threshold=-0.02 |
1.9% | -34.0% | 0.22 | 0.06 | 1.2x | 59 | 74% |
| ADX / DI 방향성 period=38, threshold=15 |
0.2% | -13.7% | 0.07 | 0.02 | 1.0x | 33 | 22% |
| 볼린저 밴드 돌파 n=26, k=2.9 |
0.0% | -8.2% | 0.01 | 0.00 | 1.0x | 5 | 3% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.9% | -30.0% | -0.04 | -0.03 | 0.9x | 91 | 60% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=15, mult=2 |
-0.7% | -25.6% | -0.05 | -0.03 | 0.9x | 67 | 52% |
| MACD fast=19, slow=47, signal=9 |
-1.7% | -27.6% | -0.13 | -0.06 | 0.8x | 147 | 52% |
| Buy and hold | 8.2% | -37.0% | 0.55 | 0.22 | 2.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 34-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 34-day average falls below the 110-day average