Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Communication Services Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Communication Services Index ETF. 0 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 7.1%, MDD -18.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -47.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -18.5%, Sharpe 0.59, 68% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -31.5%, exposure 70%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 28.9%p (CAGR 7.1%, MDD -18.5%, exposure 68%).
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=53, exitN=78 |
7.1% | -18.5% | 0.59 | 0.39 | 2.4x | 20 | 68% |
| SMA 크로스오버 fast=57, slow=234 |
7.5% | -31.5% | 0.54 | 0.24 | 2.5x | 9 | 70% |
| Supertrend period=28, mult=4.5 |
5.5% | -22.3% | 0.51 | 0.25 | 2.0x | 56 | 56% |
| EMA 크로스오버 fast=23, slow=85 |
5.8% | -23.7% | 0.49 | 0.24 | 2.1x | 38 | 67% |
| ROC 모멘텀 n=147, threshold=-0.08 |
6.5% | -31.7% | 0.47 | 0.20 | 2.2x | 43 | 84% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
0.1% | -9.7% | 0.05 | 0.01 | 1.0x | 10 | 5% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=2.7 |
-0.0% | -30.6% | 0.04 | -0.00 | 1.0x | 70 | 33% |
| ADX / DI 방향성 period=26, threshold=28 |
-0.3% | -8.5% | -0.09 | -0.03 | 1.0x | 6 | 2% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-5.0% | -55.1% | -0.33 | -0.09 | 0.5x | 196 | 56% |
| MACD fast=19, slow=38, signal=17 |
-5.4% | -55.6% | -0.40 | -0.10 | 0.5x | 178 | 49% |
| Buy and hold | 8.1% | -47.4% | 0.49 | 0.17 | 2.7x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 78 days