Trend-Following Backtester · Guide · backtest 한국어
etf · US
American Century Diversified Municipal Bond ETF backtest
10 trend-following strategies were compared on the full daily history of American Century Diversified Municipal Bond ETF. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -3.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.2%, drawdown -15.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.5%, MDD -5.9%, Sharpe 0.33, 27% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 9.8%p (CAGR 0.3%, MDD -3.3%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=21, mult=3.6 |
0.5% | -5.9% | 0.33 | 0.09 | 1.0x | 20 | 27% |
| 볼린저 밴드 돌파 n=53, k=2.5 |
0.3% | -3.3% | 0.25 | 0.08 | 1.0x | 8 | 14% |
| Donchian 채널 돌파 entryN=34, exitN=12 |
0.3% | -9.2% | 0.16 | 0.03 | 1.0x | 36 | 39% |
| ROC 모멘텀 n=92, threshold=-0.1 |
-0.3% | -16.3% | -0.03 | -0.02 | 1.0x | 3 | 95% |
| SMA 크로스오버 fast=42, slow=132 |
-0.5% | -13.4% | -0.14 | -0.04 | 1.0x | 14 | 51% |
| EMA 크로스오버 fast=41, slow=284 |
-0.8% | -13.4% | -0.21 | -0.06 | 0.9x | 8 | 49% |
| Supertrend period=28, mult=4.9 |
-0.7% | -14.1% | -0.23 | -0.05 | 0.9x | 40 | 56% |
| ADX / DI 방향성 period=14, threshold=23 |
-0.7% | -12.1% | -0.30 | -0.06 | 0.9x | 58 | 37% |
| MACD fast=19, slow=59, signal=14 |
-1.3% | -13.9% | -0.45 | -0.09 | 0.9x | 70 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-2.0% | -17.2% | -0.66 | -0.12 | 0.9x | 86 | 54% |
| Buy and hold | -0.2% | -15.7% | -0.01 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 29-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average