Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Information Technology Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Information Technology Index ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.9%, drawdown -35.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -35.2%, Sharpe 0.93, 87% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 19.0%, MDD -44.1%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=19, exitN=65 |
16.8% | -35.2% | 0.93 | 0.48 | 7.4x | 25 | 87% |
| EMA 크로스오버 fast=12, slow=120 |
15.0% | -25.0% | 0.90 | 0.60 | 6.1x | 27 | 79% |
| SMA 크로스오버 fast=12, slow=167 |
14.9% | -29.4% | 0.87 | 0.51 | 6.0x | 21 | 77% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
19.0% | -44.1% | 0.87 | 0.43 | 9.4x | 5 | 100% |
| Supertrend period=19, mult=3.8 |
9.2% | -34.3% | 0.70 | 0.27 | 3.1x | 81 | 66% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
4.1% | -17.5% | 0.51 | 0.23 | 1.7x | 22 | 21% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=2.3 |
5.3% | -25.5% | 0.47 | 0.21 | 1.9x | 77 | 54% |
| MACD fast=17, slow=46, signal=24 |
4.7% | -26.6% | 0.42 | 0.18 | 1.8x | 128 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.5% | -40.1% | 0.37 | 0.11 | 1.8x | 137 | 63% |
| ADX / DI 방향성 period=20, threshold=11 |
1.0% | -40.0% | 0.14 | 0.03 | 1.1x | 206 | 52% |
| Buy and hold | 20.9% | -35.4% | 0.93 | 0.59 | 11.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 19 days
- Sell — Sell when price breaks below the lowest low of the last 65 days