Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity Fundamental Small-Mid Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity Fundamental Small-Mid Cap ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -27.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -17.9%, Sharpe 0.60, 66% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=41, slow=84 |
7.8% | -17.9% | 0.60 | 0.44 | 1.5x | 9 | 66% |
| SMA 크로스오버 fast=10, slow=167 |
7.3% | -16.9% | 0.58 | 0.43 | 1.5x | 11 | 60% |
| Donchian 채널 돌파 entryN=83, exitN=61 |
6.7% | -18.7% | 0.55 | 0.36 | 1.4x | 7 | 59% |
| Supertrend period=28, mult=4.4 |
6.4% | -17.1% | 0.52 | 0.38 | 1.4x | 21 | 65% |
| ROC 모멘텀 n=121, threshold=-0.04 |
5.9% | -26.3% | 0.44 | 0.22 | 1.4x | 21 | 75% |
| 볼린저 밴드 돌파 n=23, k=1.8 |
1.4% | -17.5% | 0.19 | 0.08 | 1.1x | 46 | 39% |
| ADX / DI 방향성 period=34, threshold=20 |
0.5% | -7.9% | 0.18 | 0.06 | 1.0x | 4 | 4% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.2% | -37.2% | -0.17 | -0.09 | 0.8x | 56 | 61% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=31, mult=1.9 |
-2.6% | -23.2% | -0.18 | -0.11 | 0.9x | 42 | 49% |
| MACD fast=10, slow=45, signal=11 |
-4.1% | -25.6% | -0.26 | -0.16 | 0.8x | 92 | 47% |
| Buy and hold | 11.2% | -27.1% | 0.62 | 0.41 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 84-day EMA
- Sell — Sell when the 41-day EMA falls below the 84-day EMA