Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan Global Growth & Income PLC GBP backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Global Growth & Income PLC GBP. 0 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
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -60.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -62.6%, Sharpe 0.48, 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=15, threshold=-0.11 |
8.5% | -62.6% | 0.48 | 0.14 | 101.5x | 81 | 98% |
| Donchian 채널 돌파 entryN=100, exitN=100 |
5.8% | -41.1% | 0.44 | 0.14 | 24.1x | 77 | 63% |
| EMA 크로스오버 fast=14, slow=141 |
5.3% | -41.0% | 0.41 | 0.13 | 18.8x | 145 | 66% |
| SMA 크로스오버 fast=10, slow=211 |
4.9% | -40.7% | 0.38 | 0.12 | 14.6x | 121 | 65% |
| Supertrend period=12, mult=4.2 |
4.1% | -49.4% | 0.31 | 0.08 | 9.5x | 371 | 61% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=4 |
3.0% | -39.8% | 0.30 | 0.08 | 5.5x | 160 | 36% |
| Parabolic SAR step=0.025, maxStep=0.08 |
2.4% | -53.7% | 0.23 | 0.05 | 3.9x | 686 | 58% |
| ADX / DI 방향성 period=39, threshold=11 |
2.1% | -53.8% | 0.22 | 0.04 | 3.2x | 328 | 45% |
| MACD fast=15, slow=40, signal=19 |
2.0% | -50.1% | 0.19 | 0.04 | 3.0x | 618 | 50% |
| 볼린저 밴드 돌파 n=23, k=2.4 |
1.6% | -44.2% | 0.19 | 0.04 | 2.4x | 274 | 30% |
| Buy and hold | 9.0% | -60.6% | 0.49 | 0.15 | 129.9x | 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 15-day return is greater than -11%
- Sell — Sell when the 15-day return drops to -11% or below