Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jones Tech PLC Class A backtest
10 trend-following strategies were compared on the full daily history of Jones Tech PLC Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 39.9%, MDD -54.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 43.9%, drawdown -72.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 39.9%, MDD -54.5%, Sharpe 0.96, 49% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.0%p lower than buy and hold, while drawdown improves by 18.3%p (CAGR 39.9%, MDD -54.5%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.035, maxStep=0.1 |
39.9% | -54.5% | 0.96 | 0.73 | 18.4x | 183 | 49% |
| Donchian 채널 돌파 entryN=1, exitN=42 |
39.2% | -68.5% | 0.86 | 0.57 | 17.6x | 71 | 92% |
| Supertrend period=2, mult=5 |
23.1% | -83.4% | 0.66 | 0.28 | 6.1x | 31 | 71% |
| EMA 크로스오버 fast=34, slow=266 |
14.2% | -57.7% | 0.53 | 0.25 | 3.2x | 9 | 49% |
| MACD fast=7, slow=34, signal=6 |
10.5% | -73.7% | 0.45 | 0.14 | 2.4x | 213 | 49% |
| SMA 크로스오버 fast=50, slow=213 |
10.3% | -61.6% | 0.45 | 0.17 | 2.3x | 13 | 49% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=11, mult=3 |
7.6% | -35.8% | 0.45 | 0.21 | 1.9x | 13 | 4% |
| ROC 모멘텀 n=125, threshold=0.05 |
7.3% | -55.9% | 0.39 | 0.13 | 1.8x | 87 | 48% |
| ADX / DI 방향성 period=29, threshold=31 |
4.9% | -24.9% | 0.36 | 0.20 | 1.5x | 6 | 6% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
-0.1% | -35.9% | 0.11 | -0.00 | 1.0x | 16 | 6% |
| Buy and hold | 43.9% | -72.8% | 0.91 | 0.60 | 23.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots