Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity Total Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity Total Bond ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.0%, drawdown -23.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -1.6%, Sharpe 0.34, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 0.1%, MDD -0.9%, exposure 2%).
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=34, k=3.4 |
0.2% | -1.6% | 0.34 | 0.13 | 1.0x | 2 | 4% |
| ADX / DI 방향성 period=36, threshold=30 |
0.1% | -0.9% | 0.29 | 0.15 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=68, slow=249 |
-0.1% | -16.1% | -0.01 | -0.01 | 1.0x | 12 | 42% |
| Supertrend period=27, mult=4.9 |
-0.1% | -14.3% | -0.02 | -0.01 | 1.0x | 30 | 46% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=3.9 |
-0.0% | -5.7% | -0.04 | -0.01 | 1.0x | 8 | 7% |
| EMA 크로스오버 fast=75, slow=182 |
-0.5% | -16.1% | -0.08 | -0.03 | 0.9x | 14 | 42% |
| Donchian 채널 돌파 entryN=55, exitN=44 |
-0.4% | -9.7% | -0.14 | -0.04 | 1.0x | 24 | 40% |
| ROC 모멘텀 Hold-like · Exposure 99% n=6, threshold=-0.03 |
-0.8% | -26.1% | -0.14 | -0.03 | 0.9x | 7 | 99% |
| MACD fast=30, slow=70, signal=21 |
-3.3% | -32.4% | -0.81 | -0.10 | 0.7x | 76 | 46% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.5% | -41.9% | -1.27 | -0.11 | 0.6x | 112 | 51% |
| Buy and hold | -1.0% | -23.2% | -0.15 | -0.04 | 0.9x | 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 34-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 34-day middle average