Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Energy Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Energy Index ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -12.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.7%, drawdown -78.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -12.9%, Sharpe 0.51, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.6%, MDD -34.7%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 66.0%p (CAGR 4.3%, MDD -12.9%, exposure 10%).
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=51, k=2.9 |
4.3% | -12.9% | 0.51 | 0.33 | 1.7x | 12 | 10% |
| ROC 모멘텀 n=184, threshold=0.15 |
6.3% | -27.7% | 0.48 | 0.23 | 2.2x | 53 | 25% |
| SMA 크로스오버 fast=48, slow=217 |
6.6% | -34.7% | 0.45 | 0.19 | 2.3x | 19 | 50% |
| Supertrend period=6, mult=3.9 |
5.4% | -36.3% | 0.39 | 0.15 | 2.0x | 59 | 48% |
| Donchian 채널 돌파 entryN=17, exitN=103 |
5.4% | -38.5% | 0.35 | 0.14 | 2.0x | 27 | 79% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.7% | -38.8% | 0.29 | 0.10 | 1.6x | 107 | 51% |
| ADX / DI 방향성 period=13, threshold=39 |
1.1% | -7.6% | 0.29 | 0.14 | 1.1x | 18 | 4% |
| EMA 크로스오버 fast=59, slow=102 |
3.3% | -50.1% | 0.27 | 0.07 | 1.5x | 21 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=3.3 |
2.4% | -28.5% | 0.25 | 0.08 | 1.4x | 33 | 24% |
| MACD fast=16, slow=53, signal=14 |
1.0% | -48.7% | 0.15 | 0.02 | 1.1x | 151 | 50% |
| Buy and hold | 2.7% | -78.9% | 0.24 | 0.03 | 1.4x | 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 51-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 51-day middle average