Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan American Investment Trust Plc backtest
10 trend-following strategies were compared on the full daily history of JPMorgan American Investment Trust Plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.5%, MDD -47.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -68.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -47.4%, Sharpe 0.35, 92% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 21.2%p (CAGR 11.5%, MDD -47.4%, exposure 92%).
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 n=158, threshold=-0.15 |
11.5% | -47.4% | 0.35 | 0.24 | 480.6x | 59 | 92% |
| Donchian 채널 돌파 entryN=13, exitN=118 |
9.5% | -83.3% | 0.31 | 0.11 | 173.7x | 155 | 92% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=9, mult=2.5 |
2.5% | -48.5% | 0.26 | 0.05 | 4.0x | 290 | 26% |
| EMA 크로스오버 fast=22, slow=138 |
7.1% | -57.9% | 0.25 | 0.12 | 47.6x | 129 | 68% |
| SMA 크로스오버 fast=10, slow=68 |
7.0% | -51.6% | 0.25 | 0.13 | 44.8x | 263 | 60% |
| Parabolic SAR step=0.01, maxStep=0.14 |
6.3% | -55.0% | 0.23 | 0.11 | 31.9x | 544 | 56% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
5.8% | -41.4% | 0.22 | 0.14 | 24.8x | 292 | 51% |
| Supertrend period=21, mult=4 |
4.6% | -88.3% | 0.20 | 0.05 | 12.7x | 409 | 61% |
| ADX / DI 방향성 period=31, threshold=15 |
3.8% | -42.4% | 0.18 | 0.09 | 8.2x | 322 | 40% |
| MACD fast=19, slow=48, signal=18 |
0.1% | -74.9% | 0.09 | 0.00 | 1.1x | 576 | 50% |
| Buy and hold | 12.3% | -68.5% | 0.37 | 0.18 | 720.8x | 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 158-day return is greater than -15%
- Sell — Sell when the 158-day return drops to -15% or below