Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Fidelity All-in-One Growth ETF Series L Trust Units backtest
10 trend-following strategies were compared on the full daily history of Fidelity All-in-One Growth ETF Series L Trust Units. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.1%, MDD -9.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -17.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.1%, MDD -9.4%, Sharpe 1.31, 79% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.3%, MDD -11.6%, exposure 79%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 8.1%p (CAGR 11.1%, MDD -9.4%, exposure 79%).
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 n=85, threshold=0 |
11.1% | -9.4% | 1.31 | 1.18 | 1.8x | 21 | 79% |
| EMA 크로스오버 fast=70, slow=106 |
11.3% | -11.6% | 1.25 | 0.97 | 1.8x | 3 | 79% |
| Donchian 채널 돌파 entryN=17, exitN=52 |
11.0% | -12.7% | 1.19 | 0.87 | 1.8x | 11 | 89% |
| SMA 크로스오버 fast=46, slow=184 |
10.2% | -12.1% | 1.17 | 0.84 | 1.7x | 3 | 73% |
| ADX / DI 방향성 period=32, threshold=10 |
7.2% | -14.8% | 0.92 | 0.49 | 1.5x | 41 | 73% |
| Supertrend period=29, mult=4.9 |
6.2% | -13.6% | 0.80 | 0.46 | 1.4x | 27 | 73% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=21, mult=1.1 |
4.7% | -8.9% | 0.71 | 0.53 | 1.3x | 55 | 63% |
| 볼린저 밴드 돌파 n=41, k=0.5 |
3.9% | -11.9% | 0.59 | 0.33 | 1.2x | 47 | 66% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.6% | -11.1% | 0.40 | 0.23 | 1.2x | 53 | 64% |
| MACD fast=11, slow=55, signal=14 |
0.7% | -15.9% | 0.14 | 0.04 | 1.0x | 74 | 51% |
| Buy and hold | 12.3% | -17.5% | 1.16 | 0.70 | 1.9x | 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 85-day return is greater than 0%
- Sell — Sell when the 85-day return drops to 0% or below