Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Fidelity Special Values PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Fidelity Special Values PLC GBP. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.6%, MDD -25.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -51.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.2%, MDD -19.1%, Sharpe 0.87, 33% exposure.
CAGR reference leader: Supertrend — CAGR 9.7%, MDD -35.1%, exposure 62%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 32.8%p (CAGR 8.6%, MDD -25.2%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=2.5 |
7.2% | -19.1% | 0.87 | 0.38 | 9.2x | 127 | 33% |
| Supertrend period=38, mult=4.5 |
9.7% | -35.1% | 0.77 | 0.28 | 18.9x | 127 | 62% |
| ADX / DI 방향성 period=28, threshold=22 |
5.7% | -16.1% | 0.76 | 0.35 | 5.7x | 108 | 27% |
| Donchian 채널 돌파 entryN=89, exitN=79 |
8.6% | -25.2% | 0.74 | 0.34 | 13.7x | 45 | 62% |
| SMA 크로스오버 fast=26, slow=145 |
9.1% | -30.1% | 0.72 | 0.30 | 15.8x | 63 | 67% |
| EMA 크로스오버 fast=54, slow=59 |
8.6% | -26.3% | 0.70 | 0.33 | 13.5x | 69 | 67% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
6.3% | -37.2% | 0.65 | 0.17 | 6.9x | 139 | 45% |
| ROC 모멘텀 n=121, threshold=0.11 |
4.1% | -29.4% | 0.49 | 0.14 | 3.6x | 222 | 35% |
| Parabolic SAR step=0.01, maxStep=0.32 |
4.3% | -61.0% | 0.40 | 0.07 | 3.8x | 403 | 58% |
| MACD fast=17, slow=28, signal=13 |
1.0% | -66.7% | 0.14 | 0.01 | 1.4x | 457 | 50% |
| Buy and hold | 10.5% | -51.9% | 0.59 | 0.20 | 23.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average