Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Consumer Discretionary Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Consumer Discretionary Index ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -39.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -37.0%, Sharpe 0.50, 84% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=72 |
6.9% | -37.0% | 0.50 | 0.19 | 2.4x | 30 | 84% |
| Supertrend period=26, mult=4.8 |
5.6% | -18.6% | 0.49 | 0.30 | 2.0x | 52 | 64% |
| MACD fast=28, slow=34, signal=35 |
5.2% | -23.0% | 0.49 | 0.23 | 1.9x | 98 | 50% |
| EMA 크로스오버 fast=19, slow=166 |
5.9% | -24.2% | 0.47 | 0.24 | 2.1x | 28 | 75% |
| SMA 크로스오버 fast=9, slow=194 |
5.6% | -27.3% | 0.46 | 0.20 | 2.0x | 34 | 74% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=3.1 |
1.0% | -5.5% | 0.44 | 0.18 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=37, k=3.1 |
1.4% | -7.1% | 0.44 | 0.20 | 1.2x | 6 | 4% |
| ROC 모멘텀 n=46, threshold=-0.04 |
4.9% | -35.2% | 0.39 | 0.14 | 1.9x | 107 | 82% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.2% | -25.8% | 0.31 | 0.13 | 1.5x | 220 | 59% |
| ADX / DI 방향성 period=42, threshold=19 |
-0.6% | -15.8% | -0.17 | -0.04 | 0.9x | 8 | 2% |
| Buy and hold | 10.7% | -39.8% | 0.59 | 0.27 | 3.7x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 72 days