Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan US Smaller Companies Investment Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of JPMorgan US Smaller Companies Investment Trust PLC GBP. 10 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 10.6%, MDD -14.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.1%, drawdown -54.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.6%, MDD -14.1%, Sharpe 1.45, 22% exposure.
CAGR reference leader: Supertrend — CAGR 16.1%, MDD -40.1%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 10.6%, MDD -14.1%, exposure 22%).
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=18, atrPeriod=26, mult=3 |
10.6% | -14.1% | 1.45 | 0.75 | 17.4x | 98 | 22% |
| Supertrend period=9, mult=2.6 |
16.1% | -40.1% | 1.23 | 0.40 | 69.2x | 236 | 56% |
| 볼린저 밴드 돌파 n=16, k=2 |
12.0% | -32.7% | 1.19 | 0.37 | 24.9x | 250 | 35% |
| Donchian 채널 돌파 entryN=20, exitN=11 |
13.6% | -25.1% | 1.19 | 0.54 | 37.9x | 194 | 49% |
| Parabolic SAR step=0.01, maxStep=0.24 |
14.2% | -38.5% | 1.08 | 0.37 | 43.7x | 364 | 55% |
| EMA 크로스오버 fast=11, slow=21 |
13.4% | -42.5% | 1.03 | 0.31 | 35.4x | 208 | 59% |
| MACD fast=15, slow=72, signal=16 |
12.2% | -40.9% | 0.96 | 0.30 | 26.1x | 266 | 49% |
| ADX / DI 방향성 period=11, threshold=22 |
9.3% | -35.3% | 0.88 | 0.26 | 12.6x | 390 | 41% |
| SMA 크로스오버 fast=6, slow=54 |
9.6% | -32.4% | 0.77 | 0.30 | 13.6x | 188 | 59% |
| ROC 모멘텀 n=21, threshold=-0.03 |
10.2% | -45.6% | 0.73 | 0.22 | 16.0x | 369 | 75% |
| Buy and hold | 8.1% | -54.0% | 0.49 | 0.15 | 9.2x | 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 18-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average