Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity Investment Grade Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity Investment Grade Bond ETF. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.1%, MDD -1.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -21.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.1%, MDD -1.3%, Sharpe 0.10, 2% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.2%, MDD -3.3%, exposure 8%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 20.1%p (CAGR 0.1%, MDD -1.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=3.1 |
0.1% | -1.3% | 0.10 | 0.07 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=16, threshold=38 |
0.2% | -3.3% | 0.09 | 0.05 | 1.0x | 6 | 8% |
| 볼린저 밴드 돌파 n=34, k=3.4 |
-0.1% | -1.9% | -0.10 | -0.05 | 1.0x | 2 | 3% |
| Donchian 채널 돌파 entryN=45, exitN=41 |
-0.8% | -7.2% | -0.20 | -0.11 | 1.0x | 10 | 34% |
| ROC 모멘텀 n=142, threshold=-0.08 |
-2.2% | -14.9% | -0.38 | -0.15 | 0.9x | 7 | 78% |
| SMA 크로스오버 fast=40, slow=153 |
-1.4% | -9.1% | -0.39 | -0.15 | 0.9x | 10 | 35% |
| Supertrend period=12, mult=3.9 |
-1.9% | -12.7% | -0.44 | -0.15 | 0.9x | 22 | 44% |
| EMA 크로스오버 fast=25, slow=36 |
-1.9% | -11.1% | -0.48 | -0.17 | 0.9x | 18 | 40% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.7% | -23.6% | -1.12 | -0.20 | 0.8x | 48 | 40% |
| MACD fast=11, slow=53, signal=14 |
-7.7% | -36.6% | -1.70 | -0.21 | 0.6x | 81 | 45% |
| Buy and hold | -3.1% | -21.5% | -0.48 | -0.14 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average