Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Fidelity All-in-One Growth ETF Series L Trust Units backtest
10 trend-following strategies were compared on the full daily history of Fidelity All-in-One Growth ETF Series L Trust Units. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.2%, MDD -9.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -17.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.2%, MDD -9.4%, Sharpe 1.33, 79% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.4%, MDD -11.6%, exposure 80%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 8.1%p (CAGR 11.2%, MDD -9.4%, exposure 79%).
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=85, threshold=0 |
11.2% | -9.4% | 1.33 | 1.19 | 1.8x | 21 | 79% |
| EMA 크로스오버 fast=70, slow=106 |
11.4% | -11.6% | 1.27 | 0.98 | 1.8x | 3 | 80% |
| Donchian 채널 돌파 entryN=17, exitN=52 |
11.2% | -12.7% | 1.20 | 0.88 | 1.8x | 11 | 89% |
| SMA 크로스오버 fast=46, slow=184 |
10.3% | -12.1% | 1.18 | 0.85 | 1.7x | 3 | 74% |
| ADX / DI 방향성 period=32, threshold=10 |
7.4% | -14.8% | 0.94 | 0.50 | 1.5x | 41 | 73% |
| Supertrend period=29, mult=4.9 |
6.4% | -13.6% | 0.82 | 0.47 | 1.4x | 27 | 73% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=21, mult=1.1 |
4.9% | -8.9% | 0.73 | 0.55 | 1.3x | 55 | 64% |
| 볼린저 밴드 돌파 n=41, k=0.5 |
4.1% | -11.9% | 0.62 | 0.35 | 1.3x | 47 | 66% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.8% | -11.1% | 0.43 | 0.25 | 1.2x | 53 | 65% |
| MACD fast=11, slow=55, signal=14 |
0.4% | -15.9% | 0.10 | 0.03 | 1.0x | 76 | 51% |
| Buy and hold | 12.3% | -17.5% | 1.17 | 0.71 | 1.9x | 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 85-day return is greater than 0%
- Sell — Sell when the 85-day return drops to 0% or below