Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen Dynamic Municipal Opportunities Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen Dynamic Municipal Opportunities Fund. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.7%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.8%, drawdown -49.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.7%, MDD -0.5%, Sharpe 0.47, 0% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.7%, MDD -8.7%, exposure 10%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 0.7%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=4, threshold=0.09 |
0.7% | -0.5% | 0.47 | 1.30 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=38, threshold=22 |
0.7% | -8.7% | 0.18 | 0.08 | 1.0x | 2 | 10% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
0.2% | -9.0% | 0.06 | 0.02 | 1.0x | 10 | 12% |
| Supertrend period=11, mult=2.2 |
-1.3% | -20.9% | -0.08 | -0.06 | 0.9x | 50 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.5% | -27.6% | -0.19 | -0.09 | 0.9x | 82 | 47% |
| Donchian 채널 돌파 entryN=117, exitN=51 |
-1.3% | -12.5% | -0.19 | -0.10 | 0.9x | 6 | 22% |
| EMA 크로스오버 fast=43, slow=80 |
-2.1% | -24.4% | -0.21 | -0.09 | 0.9x | 14 | 38% |
| SMA 크로스오버 fast=16, slow=137 |
-2.2% | -22.1% | -0.23 | -0.10 | 0.9x | 14 | 35% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=26, mult=3.5 |
-0.7% | -6.5% | -0.26 | -0.11 | 1.0x | 4 | 4% |
| MACD fast=16, slow=44, signal=8 |
-3.8% | -26.6% | -0.31 | -0.14 | 0.8x | 79 | 48% |
| Buy and hold | -6.8% | -49.2% | -0.38 | -0.14 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than 9%
- Sell — Sell when the 4-day return drops to 9% or below