Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen New York AMT-Free Quality Municipal Income Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen New York AMT-Free Quality Municipal Income Fund. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.1%, MDD -1.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.4%, drawdown -46.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.8%, MDD -4.2%, Sharpe 0.39, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.4%, MDD -21.0%, exposure 62%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 42.2%p (CAGR 0.1%, MDD -1.8%, 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=0.08 |
0.8% | -4.2% | 0.39 | 0.19 | 1.2x | 10 | 0% |
| ADX / DI 방향성 period=39, threshold=20 |
1.3% | -13.0% | 0.35 | 0.10 | 1.4x | 38 | 15% |
| Donchian 채널 돌파 entryN=36, exitN=74 |
1.4% | -21.0% | 0.21 | 0.07 | 1.4x | 41 | 62% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=3.2 |
0.1% | -1.8% | 0.20 | 0.06 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=29, k=3.4 |
-0.1% | -10.6% | -0.04 | -0.01 | 1.0x | 12 | 2% |
| SMA 크로스오버 fast=48, slow=153 |
-0.7% | -37.7% | -0.04 | -0.02 | 0.9x | 35 | 54% |
| Supertrend period=21, mult=4.5 |
-0.7% | -42.5% | -0.04 | -0.02 | 0.8x | 88 | 54% |
| EMA 크로스오버 fast=44, slow=63 |
-0.7% | -40.7% | -0.05 | -0.02 | 0.8x | 55 | 55% |
| MACD fast=23, slow=50, signal=22 |
-4.8% | -72.9% | -0.55 | -0.07 | 0.3x | 234 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.9% | -78.3% | -0.70 | -0.08 | 0.2x | 310 | 54% |
| Buy and hold | -1.4% | -46.4% | -0.03 | -0.03 | 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 8%
- Sell — Sell when the 4-day return drops to 8% or below