Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Fidelity All-in-One Balanced ETF Series L Trust Units backtest
10 trend-following strategies were compared on the full daily history of Fidelity All-in-One Balanced ETF Series L Trust Units. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -8.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -16.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -8.9%, Sharpe 1.25, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 7.6%p (CAGR 8.1%, MDD -8.9%, exposure 64%).
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=29, slow=287 |
8.1% | -8.9% | 1.25 | 0.91 | 1.5x | 3 | 64% |
| ROC 모멘텀 n=83, threshold=-0.02 |
7.7% | -11.3% | 1.06 | 0.68 | 1.5x | 19 | 82% |
| EMA 크로스오버 fast=49, slow=172 |
7.3% | -10.9% | 1.05 | 0.67 | 1.5x | 3 | 74% |
| Donchian 채널 돌파 entryN=16, exitN=43 |
7.2% | -9.0% | 1.01 | 0.80 | 1.5x | 15 | 80% |
| Supertrend period=29, mult=4.5 |
5.7% | -7.2% | 0.92 | 0.79 | 1.4x | 25 | 69% |
| ADX / DI 방향성 period=35, threshold=10 |
5.2% | -18.9% | 0.80 | 0.28 | 1.3x | 33 | 74% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=20, mult=2 |
3.9% | -13.6% | 0.66 | 0.29 | 1.2x | 21 | 67% |
| 볼린저 밴드 돌파 n=49, k=0.7 |
0.7% | -14.7% | 0.15 | 0.05 | 1.0x | 43 | 64% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.4% | -12.7% | 0.10 | 0.03 | 1.0x | 49 | 67% |
| MACD fast=16, slow=72, signal=22 |
-0.3% | -14.0% | -0.03 | -0.02 | 1.0x | 50 | 51% |
| Buy and hold | 8.2% | -16.5% | 0.96 | 0.50 | 1.5x | 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 29-day average price crosses above the 287-day average
- Sell — Sell (to cash) when the 29-day average falls below the 287-day average