Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity Investment Grade Securitized ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity Investment Grade Securitized ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.7%, drawdown -22.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -3.3%, Sharpe 0.07, 13% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 0.0%, MDD -0.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=31 |
0.1% | -3.3% | 0.07 | 0.04 | 1.0x | 6 | 13% |
| ROC 모멘텀 n=36, threshold=0.08 |
0.0% | -0.6% | 0.00 | 0.00 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=35, k=3.4 |
-0.0% | -2.2% | -0.02 | -0.02 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=55, slow=207 |
-0.4% | -7.3% | -0.08 | -0.06 | 1.0x | 8 | 38% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=35, mult=2.8 |
-0.6% | -6.3% | -0.20 | -0.09 | 1.0x | 14 | 13% |
| Donchian 채널 돌파 entryN=101, exitN=35 |
-0.8% | -8.3% | -0.25 | -0.09 | 1.0x | 4 | 17% |
| EMA 크로스오버 fast=52, slow=191 |
-1.2% | -9.4% | -0.28 | -0.13 | 0.9x | 6 | 38% |
| Supertrend period=6, mult=4.3 |
-2.5% | -16.9% | -0.49 | -0.15 | 0.9x | 32 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.6% | -22.4% | -0.99 | -0.20 | 0.8x | 46 | 42% |
| MACD fast=8, slow=37, signal=21 |
-6.5% | -30.2% | -1.36 | -0.21 | 0.7x | 76 | 45% |
| Buy and hold | -2.7% | -22.1% | -0.38 | -0.12 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)