Trend-Following Backtester · Guide · backtest 한국어
equity · KR
제이앤티씨 backtest
10 trend-following strategies were compared on the full daily history of 제이앤티씨. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.8%, MDD -49.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.6%, drawdown -70.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.8%, MDD -49.7%, Sharpe 0.51, 42% exposure.
CAGR reference leader: Supertrend — CAGR 14.1%, MDD -60.9%, exposure 47%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 13.8%, MDD -49.7%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=97, threshold=0.03 |
13.8% | -49.7% | 0.51 | 0.28 | 2.3x | 43 | 42% |
| Supertrend period=14, mult=3.2 |
14.1% | -60.9% | 0.51 | 0.23 | 2.3x | 39 | 47% |
| EMA 크로스오버 fast=48, slow=172 |
13.4% | -63.0% | 0.50 | 0.21 | 2.3x | 4 | 42% |
| MACD fast=7, slow=22, signal=3 |
11.8% | -51.3% | 0.47 | 0.23 | 2.1x | 223 | 51% |
| SMA 크로스오버 fast=48, slow=140 |
10.7% | -63.0% | 0.45 | 0.17 | 1.9x | 8 | 36% |
| Donchian 채널 돌파 entryN=55, exitN=40 |
8.6% | -70.3% | 0.41 | 0.12 | 1.7x | 8 | 31% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.7% | -61.5% | 0.35 | 0.09 | 1.4x | 107 | 51% |
| 볼린저 밴드 돌파 n=23, k=3 |
5.6% | -20.3% | 0.34 | 0.28 | 1.4x | 18 | 11% |
| ADX / DI 방향성 period=16, threshold=38 |
3.8% | -16.5% | 0.34 | 0.23 | 1.3x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=8, mult=0.7 |
1.5% | -62.1% | 0.25 | 0.02 | 1.1x | 87 | 38% |
| Buy and hold | 10.6% | -70.2% | 0.48 | 0.15 | 1.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 97-day return is greater than 3%
- Sell — Sell when the 97-day return drops to 3% or below