Trend-Following Backtester · Guide · backtest 한국어
equity · HK
JD Logistics, Inc. backtest
10 trend-following strategies were compared on the full daily history of JD Logistics, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.7%, MDD -15.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -18.0%, drawdown -85.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.1%, MDD -15.8%, Sharpe 0.93, 7% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 31.1%p higher than buy and hold, while drawdown improves by 69.7%p (CAGR 6.7%, MDD -15.8%, exposure 4%).
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=15, atrPeriod=19, mult=3.3 |
13.1% | -15.8% | 0.93 | 0.83 | 1.9x | 4 | 7% |
| 볼린저 밴드 돌파 n=21, k=3.1 |
13.0% | -15.8% | 0.92 | 0.82 | 1.9x | 4 | 8% |
| ADX / DI 방향성 period=9, threshold=35 |
11.5% | -15.8% | 0.76 | 0.73 | 1.8x | 19 | 10% |
| ROC 모멘텀 n=28, threshold=0.29 |
6.7% | -15.8% | 0.54 | 0.42 | 1.4x | 22 | 4% |
| EMA 크로스오버 fast=55, slow=148 |
3.6% | -38.9% | 0.27 | 0.09 | 1.2x | 7 | 25% |
| Donchian 채널 돌파 entryN=103, exitN=76 |
2.2% | -45.7% | 0.22 | 0.05 | 1.1x | 3 | 25% |
| SMA 크로스오버 fast=58, slow=123 |
1.9% | -41.2% | 0.20 | 0.05 | 1.1x | 9 | 30% |
| MACD fast=15, slow=44, signal=16 |
-7.7% | -78.9% | -0.06 | -0.10 | 0.7x | 61 | 51% |
| Supertrend period=29, mult=4 |
-7.9% | -63.3% | -0.14 | -0.12 | 0.7x | 21 | 36% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-20.0% | -75.8% | -0.55 | -0.26 | 0.3x | 137 | 46% |
| Buy and hold | -18.0% | -85.5% | -0.17 | -0.21 | 0.4x | 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 15-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average