Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen AMT-Free Municipal Credit Income Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen AMT-Free Municipal Credit Income Fund. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -7.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.8%, drawdown -47.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -14.1%, Sharpe 0.19, 9% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 0.2%, MDD -7.8%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=54, threshold=18 |
0.6% | -14.1% | 0.19 | 0.04 | 1.2x | 34 | 9% |
| ROC 모멘텀 n=18, threshold=0.09 |
0.2% | -7.8% | 0.09 | 0.02 | 1.0x | 16 | 1% |
| Supertrend period=25, mult=4.5 |
0.1% | -28.7% | 0.06 | 0.00 | 1.0x | 92 | 58% |
| Donchian 채널 돌파 entryN=100, exitN=60 |
0.1% | -34.1% | 0.05 | 0.00 | 1.0x | 36 | 44% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=4 |
0.0% | -18.6% | 0.03 | 0.00 | 1.0x | 40 | 18% |
| EMA 크로스오버 fast=19, slow=119 |
-0.3% | -34.7% | -0.00 | -0.01 | 0.9x | 56 | 58% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
-0.1% | -17.7% | -0.03 | -0.01 | 1.0x | 40 | 14% |
| SMA 크로스오버 fast=17, slow=134 |
-0.8% | -39.0% | -0.06 | -0.02 | 0.8x | 60 | 57% |
| MACD fast=24, slow=51, signal=20 |
-3.2% | -62.6% | -0.38 | -0.05 | 0.5x | 214 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.7% | -61.1% | -0.43 | -0.06 | 0.4x | 210 | 58% |
| Buy and hold | -0.8% | -47.8% | 0.01 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 54-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)