Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Health Care Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Health Care Index ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -29.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -25.3%, Sharpe 0.63, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.08 |
9.2% | -25.3% | 0.63 | 0.36 | 3.1x | 21 | 99% |
| Donchian 채널 돌파 entryN=18, exitN=64 |
5.8% | -25.7% | 0.49 | 0.23 | 2.1x | 31 | 83% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
0.7% | -5.5% | 0.33 | 0.12 | 1.1x | 4 | 3% |
| SMA 크로스오버 fast=7, slow=134 |
3.0% | -30.5% | 0.31 | 0.10 | 1.5x | 45 | 65% |
| EMA 크로스오버 fast=15, slow=132 |
2.2% | -30.3% | 0.24 | 0.07 | 1.3x | 41 | 68% |
| Supertrend period=11, mult=4.2 |
0.3% | -34.2% | 0.08 | 0.01 | 1.0x | 65 | 61% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=15, mult=1.7 |
-1.0% | -36.9% | -0.06 | -0.03 | 0.9x | 85 | 52% |
| ADX / DI 방향성 period=18, threshold=39 |
-0.1% | -1.9% | -0.07 | -0.03 | 1.0x | 6 | 1% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-3.4% | -40.0% | -0.25 | -0.08 | 0.6x | 251 | 58% |
| MACD fast=14, slow=49, signal=13 |
-3.5% | -47.6% | -0.30 | -0.07 | 0.6x | 185 | 51% |
| Buy and hold | 9.3% | -29.2% | 0.61 | 0.32 | 3.1x | 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 5-day return is greater than -8%
- Sell — Sell when the 5-day return drops to -8% or below