Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan BetaBuilders U.S. Equity ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan BetaBuilders U.S. Equity ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -27.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -35.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -27.3%, Sharpe 0.89, 86% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.7%, MDD -29.3%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 8.1%p (CAGR 12.4%, MDD -27.3%, exposure 86%).
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=20, exitN=61 |
12.4% | -27.3% | 0.89 | 0.46 | 2.4x | 15 | 86% |
| SMA 크로스오버 fast=7, slow=171 |
10.2% | -18.3% | 0.86 | 0.56 | 2.1x | 17 | 71% |
| EMA 크로스오버 fast=7, slow=109 |
10.0% | -21.4% | 0.84 | 0.47 | 2.0x | 25 | 74% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.08 |
13.7% | -29.3% | 0.82 | 0.47 | 2.6x | 17 | 99% |
| Supertrend period=12, mult=5 |
8.2% | -17.2% | 0.80 | 0.48 | 1.8x | 29 | 58% |
| Parabolic SAR step=0.02, maxStep=0.06 |
6.9% | -23.0% | 0.62 | 0.30 | 1.6x | 99 | 68% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=11, mult=1.3 |
5.6% | -23.6% | 0.55 | 0.24 | 1.5x | 53 | 67% |
| 볼린저 밴드 돌파 n=51, k=0.9 |
4.1% | -22.8% | 0.43 | 0.18 | 1.4x | 57 | 63% |
| MACD fast=19, slow=54, signal=11 |
2.0% | -33.4% | 0.24 | 0.06 | 1.2x | 98 | 52% |
| ADX / DI 방향성 period=28, threshold=26 |
0.7% | -12.5% | 0.19 | 0.06 | 1.1x | 8 | 9% |
| Buy and hold | 14.4% | -35.3% | 0.79 | 0.41 | 2.7x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 61 days