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 20.4%, drawdown -35.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.4%, MDD -35.2%, Sharpe 0.91, 87% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.6%, 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 |
16.4% | -35.2% | 0.91 | 0.46 | 6.9x | 25 | 87% |
| EMA 크로스오버 fast=12, slow=120 |
14.6% | -25.0% | 0.88 | 0.58 | 5.7x | 27 | 79% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
18.6% | -44.1% | 0.86 | 0.42 | 8.8x | 5 | 100% |
| SMA 크로스오버 fast=12, slow=167 |
14.4% | -29.4% | 0.85 | 0.49 | 5.6x | 21 | 77% |
| Supertrend period=19, mult=3.8 |
9.4% | -34.3% | 0.71 | 0.27 | 3.2x | 80 | 66% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
4.1% | -17.5% | 0.51 | 0.24 | 1.7x | 22 | 21% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=2.3 |
5.6% | -25.5% | 0.49 | 0.22 | 2.0x | 76 | 54% |
| MACD fast=17, slow=46, signal=24 |
5.1% | -26.6% | 0.45 | 0.19 | 1.9x | 126 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.6% | -40.1% | 0.38 | 0.11 | 1.8x | 136 | 63% |
| ADX / DI 방향성 period=20, threshold=11 |
1.3% | -40.0% | 0.17 | 0.03 | 1.2x | 202 | 52% |
| Buy and hold | 20.4% | -35.4% | 0.91 | 0.58 | 10.7x | 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