Trend-Following Backtester · Guide · backtest 한국어
etf · US
Nuveen Municipal Credit Income Fund backtest
10 trend-following strategies were compared on the full daily history of Nuveen Municipal Credit Income Fund. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -4.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -53.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.2%, MDD -4.5%, Sharpe 0.21, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.3%, MDD -4.4%, exposure 0%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 0.3%, MDD -4.4%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=23, mult=3.6 |
0.2% | -4.5% | 0.21 | 0.05 | 1.1x | 4 | 1% |
| ROC 모멘텀 n=7, threshold=0.13 |
0.3% | -4.4% | 0.18 | 0.07 | 1.1x | 12 | 0% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
0.3% | -19.2% | 0.08 | 0.01 | 1.1x | 66 | 26% |
| Donchian 채널 돌파 entryN=36, exitN=76 |
0.2% | -29.5% | 0.06 | 0.01 | 1.0x | 52 | 66% |
| SMA 크로스오버 fast=14, slow=146 |
-0.4% | -34.0% | -0.01 | -0.01 | 0.9x | 60 | 57% |
| ADX / DI 방향성 period=39, threshold=31 |
-0.0% | -5.6% | -0.02 | -0.00 | 1.0x | 8 | 1% |
| EMA 크로스오버 fast=28, slow=89 |
-0.4% | -34.0% | -0.02 | -0.01 | 0.9x | 58 | 58% |
| MACD fast=31, slow=71, signal=23 |
-0.9% | -33.7% | -0.08 | -0.03 | 0.8x | 162 | 52% |
| Supertrend period=19, mult=3.6 |
-1.5% | -42.6% | -0.13 | -0.03 | 0.7x | 136 | 61% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.2% | -59.8% | -0.34 | -0.05 | 0.4x | 202 | 59% |
| Buy and hold | -0.9% | -53.7% | 0.01 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average