Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Nuveen ICE High Yield Municipal Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Nuveen ICE High Yield Municipal Bond ETF. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.1%, drawdown -29.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.8%, MDD -2.1%, Sharpe 0.67, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.4%, MDD -7.3%, exposure 63%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 0.1%, 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=52, k=3.4 |
0.8% | -2.1% | 0.67 | 0.37 | 1.1x | 4 | 9% |
| Donchian 채널 돌파 entryN=56, exitN=77 |
1.4% | -7.3% | 0.42 | 0.19 | 1.2x | 21 | 63% |
| ROC 모멘텀 n=3, threshold=0.12 |
0.1% | -0.5% | 0.31 | 0.21 | 1.0x | 2 | 0% |
| Supertrend period=20, mult=4 |
0.6% | -21.0% | 0.16 | 0.03 | 1.1x | 58 | 61% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=8, mult=4 |
0.3% | -8.7% | 0.15 | 0.04 | 1.1x | 26 | 26% |
| EMA 크로스오버 fast=37, slow=92 |
-0.5% | -26.5% | -0.05 | -0.02 | 0.9x | 27 | 61% |
| SMA 크로스오버 fast=32, slow=150 |
-0.6% | -25.3% | -0.05 | -0.02 | 0.9x | 23 | 60% |
| ADX / DI 방향성 period=20, threshold=25 |
-0.2% | -13.1% | -0.06 | -0.01 | 1.0x | 56 | 21% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.4% | -31.9% | -0.55 | -0.07 | 0.7x | 130 | 57% |
| MACD fast=15, slow=43, signal=18 |
-2.5% | -34.9% | -0.58 | -0.07 | 0.7x | 158 | 51% |
| Buy and hold | -0.1% | -29.8% | 0.04 | -0.00 | 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 52-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 52-day middle average