Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity High Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity High Dividend ETF. 2 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 10.0%, MDD -22.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.6%, drawdown -41.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -22.5%, Sharpe 0.81, 88% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.3%, MDD -28.2%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 10.0%, MDD -22.5%, exposure 88%).
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=8, exitN=45 |
10.0% | -22.5% | 0.81 | 0.44 | 2.6x | 29 | 88% |
| ROC 모멘텀 Hold-like · Exposure 97% n=14, threshold=-0.08 |
10.3% | -28.2% | 0.77 | 0.37 | 2.6x | 23 | 97% |
| EMA 크로스오버 fast=55, slow=95 |
5.6% | -29.6% | 0.52 | 0.19 | 1.7x | 15 | 79% |
| SMA 크로스오버 fast=28, slow=179 |
4.7% | -31.2% | 0.43 | 0.15 | 1.6x | 19 | 74% |
| Parabolic SAR step=0.01, maxStep=0.06 |
3.2% | -21.2% | 0.35 | 0.15 | 1.4x | 121 | 65% |
| Supertrend period=26, mult=4.6 |
2.9% | -27.4% | 0.32 | 0.11 | 1.3x | 47 | 70% |
| 볼린저 밴드 돌파 n=36, k=3.1 |
0.3% | -4.2% | 0.24 | 0.07 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=2.2 |
1.0% | -25.9% | 0.16 | 0.04 | 1.1x | 57 | 53% |
| MACD fast=14, slow=24, signal=19 |
0.5% | -27.9% | 0.10 | 0.02 | 1.1x | 149 | 50% |
| ADX / DI 방향성 period=19, threshold=22 |
0.3% | -9.3% | 0.10 | 0.04 | 1.0x | 46 | 18% |
| Buy and hold | 9.6% | -41.1% | 0.62 | 0.23 | 2.5x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 45 days