Trend-Following Backtester · Guide · backtest 한국어
etf · US
Fidelity MSCI Utilities Index ETF backtest
10 trend-following strategies were compared on the full daily history of Fidelity MSCI Utilities Index ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.6%, drawdown -37.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.2%, MDD -29.5%, Sharpe 0.51, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=16, threshold=-0.11 |
7.2% | -29.5% | 0.51 | 0.24 | 2.4x | 11 | 98% |
| SMA 크로스오버 fast=59, slow=199 |
3.7% | -37.1% | 0.31 | 0.10 | 1.6x | 11 | 65% |
| Donchian 채널 돌파 entryN=80, exitN=114 |
3.2% | -25.9% | 0.31 | 0.12 | 1.5x | 13 | 72% |
| ADX / DI 방향성 period=26, threshold=31 |
0.4% | -3.6% | 0.28 | 0.11 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=76, slow=80 |
2.8% | -33.5% | 0.27 | 0.08 | 1.4x | 15 | 69% |
| 볼린저 밴드 돌파 n=25, k=3 |
0.5% | -4.4% | 0.24 | 0.12 | 1.1x | 8 | 4% |
| Supertrend period=35, mult=4.1 |
1.8% | -25.2% | 0.20 | 0.07 | 1.3x | 60 | 63% |
| MACD fast=22, slow=36, signal=17 |
0.6% | -21.7% | 0.11 | 0.03 | 1.1x | 134 | 53% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.6% | -31.2% | -0.15 | -0.08 | 0.7x | 124 | 58% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=2.4 |
-0.9% | -18.3% | -0.21 | -0.05 | 0.9x | 36 | 8% |
| Buy and hold | 6.6% | -37.1% | 0.44 | 0.18 | 2.3x | 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 16-day return is greater than -11%
- Sell — Sell when the 16-day return drops to -11% or below