Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan Claverhouse Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Claverhouse Investment Trust PLC. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.4%, MDD -49.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -69.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -49.2%, Sharpe 0.44, 77% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 20.5%p (CAGR 8.4%, MDD -49.2%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=21, exitN=58 |
8.4% | -49.2% | 0.44 | 0.17 | 97.8x | 211 | 77% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=10, mult=2.5 |
5.1% | -41.2% | 0.44 | 0.12 | 16.4x | 274 | 29% |
| Supertrend period=28, mult=4.8 |
7.7% | -50.9% | 0.44 | 0.15 | 66.9x | 299 | 62% |
| ROC 모멘텀 n=117, threshold=-0.15 |
8.2% | -52.6% | 0.44 | 0.16 | 84.5x | 77 | 92% |
| EMA 크로스오버 fast=52, slow=82 |
6.9% | -47.7% | 0.42 | 0.15 | 44.0x | 107 | 64% |
| SMA 크로스오버 fast=14, slow=118 |
6.9% | -36.5% | 0.42 | 0.19 | 42.5x | 155 | 60% |
| ADX / DI 방향성 period=37, threshold=15 |
6.0% | -40.4% | 0.39 | 0.15 | 27.0x | 230 | 43% |
| 볼린저 밴드 돌파 n=15, k=2.5 |
3.1% | -46.7% | 0.29 | 0.07 | 5.7x | 271 | 27% |
| Parabolic SAR step=0.01, maxStep=0.26 |
3.8% | -80.9% | 0.27 | 0.05 | 8.4x | 547 | 58% |
| MACD fast=15, slow=43, signal=18 |
0.2% | -89.4% | 0.09 | 0.00 | 1.1x | 635 | 50% |
| Buy and hold | 9.2% | -69.7% | 0.45 | 0.13 | 146.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 21 days
- Sell — Sell when price breaks below the lowest low of the last 58 days