Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity Nasdaq Composite Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity Nasdaq Composite Index ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -30.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -55.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -30.4%, Sharpe 0.67, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 25.2%p (CAGR 9.3%, MDD -30.4%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=36, slow=157 |
9.3% | -30.4% | 0.67 | 0.31 | 7.7x | 35 | 72% |
| Supertrend period=26, mult=4 |
7.8% | -29.9% | 0.66 | 0.26 | 5.6x | 107 | 65% |
| EMA 크로스오버 fast=56, slow=120 |
8.8% | -30.5% | 0.64 | 0.29 | 6.9x | 31 | 75% |
| Donchian 채널 돌파 entryN=111, exitN=61 |
7.2% | -22.9% | 0.60 | 0.31 | 4.9x | 36 | 63% |
| ROC 모멘텀 n=125, threshold=-0.01 |
7.1% | -26.0% | 0.55 | 0.27 | 4.8x | 117 | 75% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=2.1 |
4.5% | -29.8% | 0.46 | 0.15 | 2.7x | 131 | 52% |
| 볼린저 밴드 돌파 n=65, k=1.2 |
3.6% | -24.6% | 0.38 | 0.15 | 2.3x | 130 | 56% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.6% | -37.7% | 0.34 | 0.10 | 2.3x | 225 | 64% |
| ADX / DI 방향성 period=50, threshold=11 |
1.2% | -22.6% | 0.18 | 0.05 | 1.3x | 102 | 27% |
| MACD fast=11, slow=32, signal=15 |
-1.6% | -47.1% | -0.06 | -0.03 | 0.7x | 374 | 52% |
| Buy and hold | 12.3% | -55.5% | 0.66 | 0.22 | 14.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 36-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 36-day average falls below the 157-day average