Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jupiter Wagons Limited backtest
10 trend-following strategies were compared on the full daily history of Jupiter Wagons Limited. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.8%, MDD -62.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.9%, drawdown -94.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 28.0%, MDD -65.7%, Sharpe 0.82, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.1%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 10.8%, MDD -62.4%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=45, slow=87 |
28.0% | -65.7% | 0.82 | 0.43 | 50.2x | 20 | 49% |
| SMA 크로스오버 fast=31, slow=187 |
24.6% | -70.1% | 0.75 | 0.35 | 32.8x | 20 | 51% |
| ROC 모멘텀 n=92, threshold=-0.01 |
24.7% | -72.3% | 0.73 | 0.34 | 33.1x | 130 | 56% |
| Donchian 채널 돌파 entryN=74, exitN=92 |
21.3% | -79.5% | 0.68 | 0.27 | 21.4x | 16 | 53% |
| 볼린저 밴드 돌파 n=17, k=1.2 |
19.2% | -76.5% | 0.66 | 0.25 | 16.3x | 214 | 35% |
| ADX / DI 방향성 period=39, threshold=11 |
17.5% | -84.9% | 0.60 | 0.21 | 12.9x | 92 | 50% |
| MACD fast=9, slow=24, signal=10 |
14.0% | -74.5% | 0.52 | 0.19 | 8.0x | 290 | 49% |
| Supertrend period=26, mult=4.5 |
13.3% | -78.7% | 0.52 | 0.17 | 7.2x | 46 | 42% |
| Parabolic SAR step=0.01, maxStep=0.3 |
13.6% | -72.1% | 0.51 | 0.19 | 7.5x | 200 | 45% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=20, mult=2.9 |
10.8% | -62.4% | 0.49 | 0.17 | 5.1x | 52 | 25% |
| Buy and hold | 4.9% | -94.5% | 0.37 | 0.05 | 2.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 87-day EMA
- Sell — Sell when the 45-day EMA falls below the 87-day EMA