Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Municipal High Income ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Municipal High Income ETF. 9 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 0.7%, MDD -3.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.7%, drawdown -22.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -3.6%, Sharpe 0.40, 24% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.9%, MDD -6.5%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 0.7%, MDD -3.6%, exposure 24%).
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=41, k=2.6 |
0.7% | -3.6% | 0.40 | 0.18 | 1.1x | 18 | 24% |
| Donchian 채널 돌파 entryN=84, exitN=72 |
0.9% | -6.5% | 0.40 | 0.14 | 1.1x | 10 | 46% |
| ROC 모멘텀 n=45, threshold=-0.03 |
0.4% | -11.9% | 0.12 | 0.04 | 1.0x | 19 | 86% |
| Supertrend period=27, mult=4.9 |
0.3% | -13.0% | 0.11 | 0.02 | 1.0x | 28 | 65% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=25, mult=2.9 |
0.2% | -7.5% | 0.09 | 0.02 | 1.0x | 24 | 33% |
| EMA 크로스오버 fast=21, slow=185 |
0.0% | -9.5% | 0.03 | 0.00 | 1.0x | 14 | 54% |
| ADX / DI 방향성 period=33, threshold=17 |
0.0% | -6.8% | 0.01 | 0.00 | 1.0x | 36 | 43% |
| MACD fast=19, slow=56, signal=22 |
-0.1% | -11.4% | -0.02 | -0.01 | 1.0x | 64 | 51% |
| SMA 크로스오버 fast=67, slow=177 |
-0.3% | -16.7% | -0.04 | -0.02 | 1.0x | 13 | 54% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.8% | -17.8% | -0.24 | -0.05 | 0.9x | 66 | 55% |
| Buy and hold | -0.7% | -22.7% | -0.10 | -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 41-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 41-day middle average