Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Fidelity China Special Situations PLC backtest
10 trend-following strategies were compared on the full daily history of Fidelity China Special Situations PLC. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.6%, MDD -19.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.1%, drawdown -65.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.6%, MDD -19.1%, Sharpe 0.73, 24% exposure.
CAGR reference leader: Supertrend — CAGR 10.5%, MDD -24.3%, exposure 46%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 7.6%, MDD -19.1%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=76, exitN=10 |
7.6% | -19.1% | 0.73 | 0.40 | 3.3x | 66 | 24% |
| 볼린저 밴드 돌파 n=38, k=1.5 |
9.5% | -22.3% | 0.72 | 0.43 | 4.4x | 90 | 39% |
| Supertrend period=8, mult=4.4 |
10.5% | -24.3% | 0.72 | 0.43 | 5.1x | 58 | 46% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=11, mult=2.3 |
8.1% | -22.8% | 0.65 | 0.36 | 3.6x | 72 | 36% |
| EMA 크로스오버 fast=12, slow=55 |
8.9% | -34.4% | 0.60 | 0.26 | 4.0x | 70 | 54% |
| ADX / DI 방향성 period=37, threshold=11 |
7.0% | -26.9% | 0.55 | 0.26 | 3.0x | 122 | 38% |
| SMA 크로스오버 fast=12, slow=183 |
7.2% | -41.3% | 0.49 | 0.17 | 3.1x | 30 | 54% |
| MACD fast=13, slow=43, signal=14 |
6.0% | -57.8% | 0.43 | 0.10 | 2.6x | 201 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
5.7% | -44.8% | 0.42 | 0.13 | 2.5x | 137 | 52% |
| ROC 모멘텀 n=111, threshold=-0.01 |
4.1% | -49.6% | 0.32 | 0.08 | 1.9x | 132 | 59% |
| Buy and hold | 6.1% | -65.6% | 0.36 | 0.09 | 2.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 76 days
- Sell — Sell when price breaks below the lowest low of the last 10 days