Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity Blue Chip Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity Blue Chip Growth ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.1%, MDD -15.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.3%, drawdown -43.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.1%, MDD -15.9%, Sharpe 1.03, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 27.6%p (CAGR 17.1%, MDD -15.9%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=18, slow=110 |
17.1% | -15.9% | 1.03 | 1.08 | 2.7x | 9 | 71% |
| Supertrend period=12, mult=4.6 |
12.6% | -19.9% | 0.91 | 0.63 | 2.1x | 22 | 52% |
| SMA 크로스오버 fast=16, slow=143 |
13.8% | -17.8% | 0.85 | 0.77 | 2.2x | 7 | 68% |
| ROC 모멘텀 n=151, threshold=0 |
13.7% | -18.6% | 0.84 | 0.74 | 2.2x | 21 | 70% |
| Donchian 채널 돌파 entryN=33, exitN=69 |
14.4% | -36.5% | 0.80 | 0.39 | 2.3x | 11 | 80% |
| ADX / DI 방향성 period=15, threshold=17 |
8.9% | -21.3% | 0.69 | 0.42 | 1.7x | 82 | 46% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=8, mult=2.6 |
8.5% | -21.6% | 0.68 | 0.40 | 1.7x | 28 | 47% |
| 볼린저 밴드 돌파 n=51, k=1.5 |
6.9% | -26.7% | 0.56 | 0.26 | 1.5x | 30 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
6.4% | -33.3% | 0.45 | 0.19 | 1.5x | 63 | 63% |
| MACD fast=17, slow=59, signal=16 |
1.6% | -37.6% | 0.18 | 0.04 | 1.1x | 72 | 48% |
| Buy and hold | 19.3% | -43.6% | 0.82 | 0.44 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 110-day EMA
- Sell — Sell when the 18-day EMA falls below the 110-day EMA