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. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.2%, MDD -32.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -47.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -32.3%, Sharpe 0.62, 87% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 15.1%p (CAGR 9.2%, MDD -32.3%, exposure 87%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=123, threshold=-0.1 |
9.2% | -32.3% | 0.62 | 0.29 | 3.1x | 33 | 87% |
| Donchian 채널 돌파 entryN=63, exitN=79 |
6.5% | -18.5% | 0.55 | 0.35 | 2.3x | 21 | 67% |
| Supertrend period=29, mult=4.6 |
5.7% | -22.3% | 0.52 | 0.25 | 2.0x | 55 | 57% |
| SMA 크로스오버 fast=44, slow=218 |
6.4% | -31.5% | 0.48 | 0.20 | 2.2x | 14 | 68% |
| EMA 크로스오버 fast=44, slow=208 |
5.9% | -37.2% | 0.45 | 0.16 | 2.1x | 13 | 70% |
| ADX / DI 방향성 period=47, threshold=16 |
0.9% | -8.6% | 0.21 | 0.10 | 1.1x | 10 | 8% |
| 볼린저 밴드 돌파 n=48, k=1.3 |
0.7% | -30.8% | 0.12 | 0.02 | 1.1x | 79 | 45% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=8, mult=2.9 |
0.6% | -24.3% | 0.11 | 0.02 | 1.1x | 62 | 32% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-4.8% | -54.7% | -0.31 | -0.09 | 0.5x | 197 | 56% |
| MACD fast=14, slow=53, signal=15 |
-5.2% | -53.5% | -0.38 | -0.10 | 0.5x | 191 | 50% |
| Buy and hold | 8.4% | -47.4% | 0.51 | 0.18 | 2.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 123-day return is greater than -10%
- Sell — Sell when the 123-day return drops to -10% or below