Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity Value Factor ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity Value Factor ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -20.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -37.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -25.0%, Sharpe 0.85, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 12.7%p (CAGR 11.2%, MDD -20.7%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=21, threshold=-0.12 |
12.9% | -25.0% | 0.85 | 0.52 | 3.3x | 11 | 98% |
| Donchian 채널 돌파 entryN=17, exitN=52 |
11.2% | -20.7% | 0.85 | 0.54 | 2.8x | 21 | 88% |
| EMA 크로스오버 fast=38, slow=149 |
7.4% | -23.3% | 0.63 | 0.32 | 2.0x | 17 | 77% |
| SMA 크로스오버 fast=15, slow=81 |
6.7% | -20.9% | 0.62 | 0.32 | 1.9x | 31 | 74% |
| Supertrend period=19, mult=4.9 |
5.4% | -23.2% | 0.57 | 0.23 | 1.7x | 42 | 64% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
0.5% | -2.3% | 0.46 | 0.21 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.3% | -27.7% | 0.35 | 0.12 | 1.4x | 139 | 65% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=1.4 |
2.0% | -27.8% | 0.26 | 0.07 | 1.2x | 79 | 64% |
| MACD fast=13, slow=40, signal=8 |
-0.0% | -27.4% | 0.05 | -0.00 | 1.0x | 187 | 52% |
| ADX / DI 방향성 period=26, threshold=24 |
-0.1% | -10.2% | -0.02 | -0.01 | 1.0x | 8 | 5% |
| Buy and hold | 12.4% | -37.7% | 0.74 | 0.33 | 3.2x | 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 21-day return is greater than -12%
- Sell — Sell when the 21-day return drops to -12% or below