Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Jumbo S.A. backtest
10 trend-following strategies were compared on the full daily history of Jumbo S.A.. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.8%, MDD -36.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.8%, drawdown -81.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -25.6%, Sharpe 0.70, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.8%, MDD -36.0%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 56.2%p (CAGR 12.8%, MDD -36.0%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=72, k=3.5 |
7.8% | -25.6% | 0.70 | 0.30 | 7.4x | 15 | 14% |
| Donchian 채널 돌파 entryN=104, exitN=54 |
11.9% | -43.7% | 0.62 | 0.27 | 20.2x | 39 | 41% |
| EMA 크로스오버 fast=34, slow=149 |
12.7% | -38.3% | 0.59 | 0.33 | 24.5x | 37 | 55% |
| SMA 크로스오버 fast=25, slow=214 |
12.8% | -36.0% | 0.59 | 0.36 | 24.9x | 35 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=3.9 |
7.7% | -53.9% | 0.54 | 0.14 | 7.2x | 45 | 22% |
| ADX / DI 방향성 period=32, threshold=21 |
6.5% | -27.8% | 0.54 | 0.23 | 5.3x | 39 | 13% |
| ROC 모멘텀 n=91, threshold=0 |
7.6% | -75.2% | 0.42 | 0.10 | 7.1x | 253 | 54% |
| Supertrend period=21, mult=3.8 |
3.4% | -72.8% | 0.26 | 0.05 | 2.4x | 117 | 56% |
| MACD fast=18, slow=58, signal=19 |
2.0% | -80.1% | 0.21 | 0.03 | 1.7x | 281 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.5% | -82.1% | 0.11 | -0.01 | 0.9x | 225 | 54% |
| Buy and hold | 8.8% | -81.7% | 0.41 | 0.11 | 9.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 72-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 72-day middle average