Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Fidelity European Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Fidelity European Trust PLC GBP. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -46.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -16.5%, Sharpe 0.77, 12% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.3%, MDD -44.8%, exposure 95%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=2.7 |
3.7% | -16.5% | 0.77 | 0.23 | 3.6x | 82 | 12% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=11, mult=3 |
3.9% | -21.0% | 0.70 | 0.19 | 3.8x | 116 | 16% |
| EMA 크로스오버 fast=8, slow=141 |
8.3% | -36.5% | 0.67 | 0.23 | 15.9x | 103 | 71% |
| ROC 모멘텀 n=40, threshold=-0.11 |
10.3% | -44.8% | 0.65 | 0.23 | 30.4x | 91 | 95% |
| ADX / DI 방향성 period=46, threshold=17 |
4.5% | -20.7% | 0.63 | 0.22 | 4.6x | 78 | 28% |
| Donchian 채널 돌파 entryN=66, exitN=62 |
7.0% | -34.0% | 0.61 | 0.20 | 10.4x | 69 | 61% |
| Supertrend period=28, mult=3.9 |
7.1% | -43.4% | 0.60 | 0.16 | 11.0x | 225 | 63% |
| SMA 크로스오버 fast=7, slow=218 |
7.5% | -38.1% | 0.60 | 0.20 | 12.3x | 85 | 72% |
| Parabolic SAR step=0.005, maxStep=0.06 |
6.4% | -50.4% | 0.54 | 0.13 | 8.6x | 280 | 60% |
| MACD fast=18, slow=34, signal=14 |
5.6% | -46.7% | 0.49 | 0.12 | 6.7x | 436 | 51% |
| Buy and hold | 11.4% | -46.9% | 0.65 | 0.24 | 42.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 18-day middle average