Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Fidelity All-in-One Balanced ETF Series L Trust Units backtest
10 trend-following strategies were compared on the full daily history of Fidelity All-in-One Balanced ETF Series L Trust Units. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.6%, MDD -7.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.0%, drawdown -16.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -8.9%, Sharpe 1.21, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.6%, MDD -7.0%, exposure 84%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 7.6%p (CAGR 8.6%, MDD -7.0%, exposure 84%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=289 |
7.8% | -8.9% | 1.21 | 0.88 | 1.5x | 3 | 65% |
| Donchian 채널 돌파 entryN=16, exitN=52 |
8.6% | -7.0% | 1.15 | 1.22 | 1.6x | 9 | 84% |
| ROC 모멘텀 n=77, threshold=-0.03 |
8.2% | -11.2% | 1.09 | 0.73 | 1.6x | 13 | 85% |
| EMA 크로스오버 fast=77, slow=106 |
7.7% | -10.8% | 1.09 | 0.72 | 1.5x | 3 | 79% |
| Supertrend period=29, mult=4.5 |
5.5% | -7.2% | 0.89 | 0.77 | 1.4x | 25 | 70% |
| ADX / DI 방향성 period=38, threshold=11 |
4.9% | -16.1% | 0.80 | 0.31 | 1.3x | 25 | 71% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=17, mult=1.2 |
3.2% | -11.1% | 0.54 | 0.29 | 1.2x | 34 | 69% |
| 볼린저 밴드 돌파 n=44, k=0.7 |
0.5% | -10.8% | 0.11 | 0.04 | 1.0x | 48 | 63% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.1% | -12.7% | 0.05 | 0.01 | 1.0x | 52 | 67% |
| MACD fast=18, slow=67, signal=21 |
-0.5% | -13.5% | -0.06 | -0.03 | 1.0x | 50 | 50% |
| Buy and hold | 8.0% | -16.5% | 0.94 | 0.49 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 289-day average
- Sell — Sell (to cash) when the 35-day average falls below the 289-day average