Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan Emerging Markets Dividend Income plc GBP backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Emerging Markets Dividend Income plc GBP. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.8%, MDD -27.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -47.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.0%, MDD -6.5%, Sharpe 0.53, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.8%, MDD -27.2%, exposure 39%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 41.0%p (CAGR 3.8%, MDD -27.2%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=21, mult=2.7 |
2.0% | -6.5% | 0.53 | 0.31 | 1.4x | 10 | 4% |
| ROC 모멘텀 n=15, threshold=0.15 |
0.6% | -1.9% | 0.42 | 0.35 | 1.1x | 6 | 0% |
| 볼린저 밴드 돌파 n=41, k=3.2 |
2.0% | -13.3% | 0.41 | 0.15 | 1.4x | 14 | 8% |
| Donchian 채널 돌파 entryN=111, exitN=61 |
3.8% | -27.2% | 0.40 | 0.14 | 1.8x | 17 | 39% |
| SMA 크로스오버 fast=19, slow=199 |
2.9% | -29.0% | 0.29 | 0.10 | 1.6x | 35 | 55% |
| Supertrend period=22, mult=2.2 |
0.9% | -40.6% | 0.13 | 0.02 | 1.2x | 130 | 57% |
| EMA 크로스오버 fast=34, slow=102 |
0.4% | -39.2% | 0.10 | 0.01 | 1.1x | 49 | 56% |
| ADX / DI 방향성 period=36, threshold=38 |
0.2% | -7.5% | 0.09 | 0.02 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-0.3% | -38.5% | 0.04 | -0.01 | 1.0x | 218 | 54% |
| MACD fast=24, slow=30, signal=22 |
-2.5% | -56.9% | -0.13 | -0.04 | 0.7x | 174 | 53% |
| Buy and hold | 4.1% | -47.5% | 0.30 | 0.09 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average