Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Fidelity Emerging Markets Limited Red Pref Shs GBP backtest
10 trend-following strategies were compared on the full daily history of Fidelity Emerging Markets Limited Red Pref Shs GBP. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -26.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.3%, drawdown -67.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.9%, MDD -34.3%, Sharpe 1.29, 26% exposure.
CAGR reference leader: Supertrend — CAGR 14.3%, MDD -42.7%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 9.7%, MDD -26.3%, exposure 29%).
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=14, atrPeriod=25, mult=3.4 |
11.9% | -34.3% | 1.29 | 0.35 | 64.0x | 136 | 26% |
| Donchian 채널 돌파 entryN=105, exitN=12 |
9.7% | -26.3% | 1.12 | 0.37 | 31.5x | 138 | 29% |
| Supertrend period=15, mult=4.2 |
14.3% | -42.7% | 1.06 | 0.33 | 139.7x | 244 | 57% |
| 볼린저 밴드 돌파 n=15, k=2.2 |
10.2% | -56.8% | 1.02 | 0.18 | 36.3x | 308 | 35% |
| Parabolic SAR step=0.01, maxStep=0.18 |
11.2% | -65.7% | 0.85 | 0.17 | 50.8x | 440 | 57% |
| ADX / DI 방향성 period=14, threshold=34 |
7.1% | -41.1% | 0.79 | 0.17 | 12.7x | 180 | 27% |
| SMA 크로스오버 fast=13, slow=87 |
9.5% | -51.8% | 0.67 | 0.18 | 28.7x | 131 | 60% |
| ROC 모멘텀 n=46, threshold=-0.01 |
9.2% | -69.9% | 0.65 | 0.13 | 26.1x | 362 | 64% |
| EMA 크로스오버 fast=16, slow=52 |
9.0% | -57.2% | 0.64 | 0.16 | 24.5x | 158 | 60% |
| MACD fast=23, slow=57, signal=9 |
6.7% | -75.2% | 0.55 | 0.09 | 11.0x | 436 | 52% |
| Buy and hold | 9.3% | -67.0% | 0.53 | 0.14 | 27.3x | 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 14-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average