Trend-Following Backtester · Guide · backtest 한국어

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Fidelity European Trust PLC GBP backtest

10 trend-following strategies were compared on the full daily history of Fidelity European Trust PLC GBP. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.

Data 1991-11-01 ~ 2026-07-31daily bars 8,896 (34.7 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 11.4%, drawdown -46.9%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -16.5%, Sharpe 0.77, 12% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 10.3%, MDD -44.8%, exposure 95%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=18, k=2.7
3.7%-16.5%0.770.233.6x8212%
Keltner 채널 돌파
emaPeriod=17, atrPeriod=11, mult=3
3.9%-21.0%0.700.193.8x11616%
EMA 크로스오버
fast=8, slow=141
8.3%-36.5%0.670.2315.9x10371%
ROC 모멘텀
n=40, threshold=-0.11
10.3%-44.8%0.650.2330.4x9195%
ADX / DI 방향성
period=46, threshold=17
4.5%-20.7%0.630.224.6x7828%
Donchian 채널 돌파
entryN=66, exitN=62
7.0%-34.0%0.610.2010.4x6961%
Supertrend
period=28, mult=3.9
7.1%-43.4%0.600.1611.0x22563%
SMA 크로스오버
fast=7, slow=218
7.5%-38.1%0.600.2012.3x8572%
Parabolic SAR
step=0.005, maxStep=0.06
6.4%-50.4%0.540.138.6x28060%
MACD
fast=18, slow=34, signal=14
5.6%-46.7%0.490.126.7x43651%
Buy and hold11.4%-46.9%0.650.2442.6x1100%
1x 10x 1992 1997 2002 2007 2012 2017 2022 ROC 모멘텀볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -12% -23% -35% -47% 1992 1997 2002 2007 2012 2017 2022 Buy and holdROC 모멘텀볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -16.5% (2005-08-12 → 2017-04-25), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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