Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Consumer Staples Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Consumer Staples 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 5.9%, drawdown -25.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.3%, MDD -20.1%, Sharpe 0.47, 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=18, threshold=-0.1 |
5.3% | -20.1% | 0.47 | 0.27 | 1.9x | 9 | 99% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=25, mult=2.7 |
0.5% | -2.6% | 0.43 | 0.20 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=37, threshold=27 |
0.6% | -2.9% | 0.40 | 0.19 | 1.1x | 2 | 4% |
| Donchian 채널 돌파 entryN=13, exitN=99 |
3.7% | -19.6% | 0.37 | 0.19 | 1.6x | 29 | 88% |
| EMA 크로스오버 fast=27, slow=196 |
0.5% | -26.4% | 0.10 | 0.02 | 1.1x | 23 | 74% |
| SMA 크로스오버 fast=35, slow=196 |
-0.1% | -28.6% | 0.05 | -0.00 | 1.0x | 21 | 71% |
| 볼린저 밴드 돌파 n=29, k=3 |
0.0% | -5.6% | 0.03 | 0.01 | 1.0x | 4 | 2% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.1% | -22.5% | -0.08 | -0.05 | 0.9x | 113 | 58% |
| Supertrend period=23, mult=3.5 |
-1.4% | -24.0% | -0.10 | -0.06 | 0.8x | 83 | 63% |
| MACD fast=15, slow=46, signal=23 |
-2.8% | -34.7% | -0.30 | -0.08 | 0.7x | 148 | 51% |
| Buy and hold | 5.9% | -25.7% | 0.48 | 0.23 | 2.1x | 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 18-day return is greater than -10%
- Sell — Sell when the 18-day return drops to -10% or below