Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan Emerging Markets Growth & Income PLC GBP backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Emerging Markets Growth & Income PLC GBP. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.7%, MDD -22.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.2%, drawdown -73.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.7%, MDD -22.0%, Sharpe 1.15, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.7%, MDD -56.2%, exposure 75%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 51.4%p (CAGR 7.7%, MDD -22.0%, exposure 16%).
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=12, atrPeriod=11, mult=2.6 |
7.7% | -22.0% | 1.15 | 0.35 | 13.5x | 142 | 16% |
| Supertrend period=9, mult=4.2 |
12.0% | -38.0% | 0.93 | 0.32 | 52.8x | 218 | 56% |
| 볼린저 밴드 돌파 n=33, k=1.5 |
9.4% | -46.0% | 0.84 | 0.20 | 23.1x | 254 | 44% |
| Donchian 채널 돌파 entryN=12, exitN=36 |
12.7% | -56.2% | 0.83 | 0.23 | 65.7x | 174 | 75% |
| ADX / DI 방향성 period=19, threshold=22 |
7.7% | -47.0% | 0.81 | 0.16 | 13.5x | 224 | 32% |
| Parabolic SAR step=0.015, maxStep=0.06 |
9.2% | -55.4% | 0.71 | 0.17 | 22.1x | 408 | 58% |
| MACD fast=11, slow=49, signal=16 |
8.4% | -39.0% | 0.67 | 0.22 | 17.2x | 438 | 52% |
| EMA 크로스오버 fast=23, slow=96 |
7.9% | -52.0% | 0.61 | 0.15 | 14.2x | 93 | 60% |
| SMA 크로스오버 fast=10, slow=66 |
7.6% | -55.6% | 0.60 | 0.14 | 13.1x | 174 | 60% |
| ROC 모멘텀 n=77, threshold=0.05 |
5.5% | -42.9% | 0.50 | 0.13 | 6.6x | 268 | 45% |
| Buy and hold | 8.2% | -73.3% | 0.48 | 0.11 | 16.1x | 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 12-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average