Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Short Duration Managed Municipal ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Short Duration Managed Municipal ETF. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.0%, MDD -0.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.2%, drawdown -8.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.0%, MDD -0.8%, Sharpe -0.06, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 7.1%p (CAGR -0.0%, MDD -0.8%, exposure 4%).
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=42, k=3.3 |
-0.0% | -0.8% | -0.06 | -0.03 | 1.0x | 2 | 4% |
| ROC 모멘텀 n=80, threshold=-0.04 |
-0.6% | -8.8% | -0.19 | -0.07 | 1.0x | 5 | 94% |
| SMA 크로스오버 fast=50, slow=209 |
-1.0% | -8.1% | -0.37 | -0.12 | 0.9x | 12 | 54% |
| ADX / DI 방향성 period=24, threshold=43 |
-0.1% | -0.9% | -0.39 | -0.13 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=28, mult=3.3 |
-0.2% | -3.0% | -0.39 | -0.08 | 1.0x | 6 | 5% |
| Supertrend period=24, mult=5 |
-0.8% | -8.6% | -0.46 | -0.09 | 0.9x | 18 | 49% |
| EMA 크로스오버 fast=54, slow=66 |
-1.1% | -9.8% | -0.48 | -0.11 | 0.9x | 14 | 57% |
| Donchian 채널 돌파 entryN=32, exitN=90 |
-1.2% | -11.0% | -0.61 | -0.11 | 0.9x | 16 | 65% |
| MACD fast=27, slow=44, signal=33 |
-2.2% | -15.7% | -1.02 | -0.14 | 0.8x | 44 | 48% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.9% | -26.3% | -1.96 | -0.15 | 0.7x | 64 | 54% |
| Buy and hold | -0.2% | -8.0% | -0.06 | -0.03 | 1.0x | 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 42-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 42-day middle average