Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen Municipal Credit Opportunities Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen Municipal Credit Opportunities Fund. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.8%, MDD -8.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.3%, drawdown -46.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.4%, MDD -11.0%, Sharpe 0.54, 20% exposure.
CAGR reference leader: Supertrend — CAGR 3.7%, MDD -24.6%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 1.8%, MDD -8.6%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=99, exitN=61 |
2.4% | -11.0% | 0.54 | 0.22 | 1.2x | 4 | 20% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=3.9 |
1.8% | -8.6% | 0.44 | 0.21 | 1.1x | 8 | 17% |
| Supertrend period=24, mult=1.2 |
3.7% | -24.6% | 0.36 | 0.15 | 1.3x | 114 | 54% |
| ADX / DI 방향성 period=34, threshold=21 |
1.5% | -10.5% | 0.34 | 0.15 | 1.1x | 14 | 16% |
| ROC 모멘텀 n=131, threshold=0.04 |
1.6% | -16.2% | 0.30 | 0.10 | 1.1x | 34 | 30% |
| MACD fast=22, slow=31, signal=20 |
2.0% | -17.9% | 0.25 | 0.11 | 1.2x | 64 | 50% |
| SMA 크로스오버 fast=57, slow=189 |
0.6% | -23.5% | 0.13 | 0.03 | 1.0x | 10 | 39% |
| 볼린저 밴드 돌파 n=21, k=1.1 |
0.7% | -17.5% | 0.12 | 0.04 | 1.0x | 90 | 43% |
| Parabolic SAR step=0.04, maxStep=0.12 |
-1.3% | -28.1% | -0.07 | -0.05 | 0.9x | 170 | 51% |
| EMA 크로스오버 fast=40, slow=139 |
-0.8% | -28.1% | -0.09 | -0.03 | 0.9x | 12 | 38% |
| Buy and hold | -6.3% | -46.4% | -0.24 | -0.14 | 0.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 99 days
- Sell — Sell when price breaks below the lowest low of the last 61 days