Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Industrials Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Industrials Index ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.0%, MDD -29.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -42.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.9%, MDD -25.5%, Sharpe 0.71, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 17.2%p (CAGR 9.0%, MDD -29.3%, exposure 88%).
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 Hold-like · Exposure 100% n=7, threshold=-0.13 |
11.9% | -25.5% | 0.71 | 0.47 | 4.2x | 3 | 100% |
| Donchian 채널 돌파 entryN=22, exitN=79 |
9.0% | -29.3% | 0.65 | 0.31 | 3.0x | 21 | 88% |
| EMA 크로스오버 fast=13, slow=203 |
5.4% | -25.5% | 0.47 | 0.21 | 2.0x | 29 | 75% |
| Supertrend period=23, mult=5 |
5.2% | -21.1% | 0.46 | 0.25 | 1.9x | 47 | 68% |
| SMA 크로스오버 fast=15, slow=210 |
4.8% | -26.8% | 0.42 | 0.18 | 1.8x | 17 | 73% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=37, mult=2.2 |
1.4% | -15.2% | 0.31 | 0.09 | 1.2x | 32 | 10% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
0.2% | -2.8% | 0.17 | 0.06 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.2% | -25.5% | 0.16 | 0.05 | 1.2x | 122 | 61% |
| MACD fast=18, slow=23, signal=14 |
0.9% | -26.4% | 0.14 | 0.04 | 1.1x | 184 | 50% |
| ADX / DI 방향성 period=34, threshold=18 |
-0.5% | -10.1% | -0.10 | -0.05 | 0.9x | 28 | 8% |
| Buy and hold | 10.5% | -42.7% | 0.62 | 0.25 | 3.6x | 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 7-day return is greater than -13%
- Sell — Sell when the 7-day return drops to -13% or below