Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Financials Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Financials Index ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -21.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -45.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -5.2%, Sharpe 0.54, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.8%, MDD -21.6%, exposure 88%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.3%p lower than buy and hold, while drawdown improves by 39.8%p (CAGR 7.8%, MDD -21.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.5 |
1.7% | -5.2% | 0.54 | 0.32 | 1.2x | 4 | 3% |
| Donchian 채널 돌파 entryN=20, exitN=77 |
7.8% | -21.6% | 0.54 | 0.36 | 2.6x | 23 | 88% |
| ROC 모멘텀 n=119, threshold=-0.1 |
7.6% | -31.4% | 0.53 | 0.24 | 2.6x | 29 | 87% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=29, mult=3.5 |
1.6% | -10.4% | 0.44 | 0.16 | 1.2x | 12 | 6% |
| EMA 크로스오버 fast=43, slow=64 |
5.1% | -24.9% | 0.43 | 0.21 | 1.9x | 29 | 72% |
| SMA 크로스오버 fast=21, slow=108 |
4.9% | -27.7% | 0.41 | 0.18 | 1.9x | 33 | 69% |
| ADX / DI 방향성 period=22, threshold=32 |
0.7% | -4.7% | 0.31 | 0.15 | 1.1x | 6 | 4% |
| Supertrend period=25, mult=3.4 |
3.1% | -38.0% | 0.29 | 0.08 | 1.5x | 88 | 63% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.1% | -35.9% | 0.15 | 0.03 | 1.2x | 124 | 60% |
| MACD fast=17, slow=37, signal=13 |
0.8% | -24.6% | 0.13 | 0.03 | 1.1x | 188 | 50% |
| Buy and hold | 8.9% | -45.0% | 0.51 | 0.20 | 3.0x | 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 25-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 25-day middle average