Trend-Following Backtester · Guide · backtest 한국어
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JKO S&P GSCI Brent Crude 2x Leveraged ER Future s ETF backtest
10 trend-following strategies were compared on the full daily history of JKO S&P GSCI Brent Crude 2x Leveraged ER Future s ETF. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.8%, MDD -42.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.3%, drawdown -93.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.5%, MDD -65.2%, Sharpe 0.71, 62% exposure.
CAGR reference leader: Supertrend — CAGR 30.4%, MDD -69.2%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.2%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 18.8%, MDD -42.4%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=19 |
27.5% | -65.2% | 0.71 | 0.42 | 8.5x | 55 | 62% |
| Supertrend period=27, mult=4.2 |
30.4% | -69.2% | 0.71 | 0.44 | 10.4x | 63 | 45% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
20.4% | -53.3% | 0.62 | 0.38 | 5.1x | 43 | 35% |
| ADX / DI 방향성 period=37, threshold=18 |
18.8% | -42.4% | 0.61 | 0.44 | 4.5x | 16 | 13% |
| Parabolic SAR step=0.01, maxStep=0.1 |
20.9% | -79.1% | 0.59 | 0.26 | 5.3x | 87 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=4 |
16.4% | -57.0% | 0.56 | 0.29 | 3.8x | 34 | 28% |
| SMA 크로스오버 fast=13, slow=184 |
15.5% | -66.1% | 0.54 | 0.23 | 3.6x | 19 | 42% |
| ROC 모멘텀 n=30, threshold=0.1 |
13.8% | -68.1% | 0.51 | 0.20 | 3.1x | 155 | 36% |
| MACD fast=11, slow=54, signal=11 |
12.6% | -81.1% | 0.50 | 0.15 | 2.8x | 119 | 54% |
| EMA 크로스오버 fast=10, slow=38 |
12.2% | -74.0% | 0.49 | 0.17 | 2.8x | 63 | 51% |
| Buy and hold | 11.3% | -93.7% | 0.53 | 0.12 | 2.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 19 days