Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Real Estate Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Real Estate Index ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.7%, drawdown -43.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -3.1%, Sharpe 0.44, 2% exposure.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.5 |
0.9% | -3.1% | 0.44 | 0.27 | 1.1x | 2 | 2% |
| ROC 모멘텀 n=10, threshold=0.12 |
0.7% | -9.7% | 0.20 | 0.07 | 1.1x | 8 | 0% |
| ADX / DI 방향성 period=34, threshold=25 |
0.1% | -5.2% | 0.08 | 0.02 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=15, exitN=38 |
-0.5% | -31.9% | 0.04 | -0.02 | 0.9x | 47 | 73% |
| SMA 크로스오버 fast=54, slow=208 |
-1.9% | -47.6% | -0.07 | -0.04 | 0.8x | 15 | 54% |
| EMA 크로스오버 fast=29, slow=236 |
-2.5% | -40.2% | -0.13 | -0.06 | 0.8x | 21 | 57% |
| Supertrend period=17, mult=3.1 |
-2.8% | -35.7% | -0.17 | -0.08 | 0.7x | 85 | 54% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=12, mult=3.3 |
-0.3% | -3.4% | -0.23 | -0.09 | 1.0x | 2 | 0% |
| MACD fast=16, slow=52, signal=14 |
-4.5% | -41.7% | -0.32 | -0.11 | 0.6x | 149 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-5.1% | -47.1% | -0.33 | -0.11 | 0.5x | 209 | 56% |
| Buy and hold | 1.7% | -43.5% | 0.19 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average