Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen Municipal High Income Opportunity Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen Municipal High Income Opportunity Fund. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.2%, MDD -4.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.8%, drawdown -63.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.0%, MDD -18.3%, Sharpe 0.28, 62% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 0.2%, MDD -4.8%, exposure 1%).
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=53, exitN=72 |
2.0% | -18.3% | 0.28 | 0.11 | 1.6x | 31 | 62% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.2% | -4.8% | 0.19 | 0.04 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=25, mult=2.1 |
0.4% | -10.9% | 0.18 | 0.04 | 1.1x | 34 | 4% |
| ROC 모멘텀 n=11, threshold=0.09 |
0.6% | -11.9% | 0.16 | 0.05 | 1.1x | 36 | 1% |
| EMA 크로스오버 fast=42, slow=102 |
0.9% | -26.5% | 0.14 | 0.03 | 1.2x | 40 | 56% |
| SMA 크로스오버 fast=62, slow=214 |
0.6% | -37.1% | 0.11 | 0.02 | 1.2x | 22 | 54% |
| ADX / DI 방향성 period=34, threshold=34 |
-0.0% | -9.2% | -0.00 | -0.00 | 1.0x | 8 | 2% |
| Supertrend period=19, mult=2.8 |
-1.9% | -42.6% | -0.13 | -0.04 | 0.7x | 158 | 64% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.6% | -68.2% | -0.41 | -0.07 | 0.3x | 182 | 56% |
| MACD fast=15, slow=54, signal=18 |
-4.9% | -69.3% | -0.48 | -0.07 | 0.3x | 266 | 50% |
| Buy and hold | -1.8% | -63.4% | -0.01 | -0.03 | 0.7x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 72 days