Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan UK Small Cap Growth & Income plc GBP backtest
10 trend-following strategies were compared on the full daily history of JPMorgan UK Small Cap Growth & Income plc GBP. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.0%, MDD -18.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.2%, drawdown -65.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.8%, MDD -19.2%, Sharpe 1.69, 39% exposure.
CAGR reference leader: Supertrend — CAGR 20.1%, MDD -24.1%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 46.7%p (CAGR 12.0%, MDD -18.1%, exposure 32%).
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=13, atrPeriod=35, mult=1.3 |
16.8% | -19.2% | 1.69 | 0.87 | 265.9x | 316 | 39% |
| Supertrend period=27, mult=3.3 |
20.1% | -24.1% | 1.56 | 0.84 | 739.1x | 239 | 57% |
| Parabolic SAR step=0.025, maxStep=0.1 |
19.6% | -29.7% | 1.51 | 0.66 | 623.4x | 499 | 57% |
| 볼린저 밴드 돌파 n=14, k=2.1 |
13.7% | -25.6% | 1.45 | 0.54 | 102.9x | 327 | 33% |
| ADX / DI 방향성 period=9, threshold=37 |
12.0% | -18.1% | 1.43 | 0.66 | 59.7x | 278 | 32% |
| Donchian 채널 돌파 entryN=21, exitN=12 |
16.0% | -29.7% | 1.41 | 0.54 | 207.0x | 261 | 48% |
| MACD fast=19, slow=59, signal=26 |
15.6% | -30.4% | 1.27 | 0.51 | 181.9x | 247 | 52% |
| EMA 크로스오버 fast=5, slow=26 |
15.1% | -37.8% | 1.21 | 0.40 | 158.4x | 331 | 59% |
| SMA 크로스오버 fast=3, slow=52 |
14.2% | -38.2% | 1.15 | 0.37 | 120.1x | 235 | 59% |
| ROC 모멘텀 n=23, threshold=-0.01 |
12.1% | -38.9% | 0.97 | 0.31 | 61.4x | 509 | 64% |
| Buy and hold | 8.2% | -65.9% | 0.51 | 0.12 | 17.0x | 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 13-day average + 1.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average