Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan Equity Premium Income ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Equity Premium Income ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.2%, drawdown -20.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.8%, MDD -2.2%, Sharpe 0.43, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.0%, MDD -13.6%, exposure 54%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=2.9 |
0.8% | -2.2% | 0.43 | 0.34 | 1.0x | 2 | 8% |
| SMA 크로스오버 fast=42, slow=149 |
1.0% | -13.6% | 0.19 | 0.07 | 1.1x | 12 | 54% |
| ADX / DI 방향성 period=39, threshold=36 |
0.2% | -3.1% | 0.15 | 0.07 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=98, threshold=-0.07 |
0.5% | -18.3% | 0.10 | 0.03 | 1.0x | 15 | 87% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=4 |
0.2% | -5.7% | 0.08 | 0.03 | 1.0x | 6 | 11% |
| EMA 크로스오버 fast=39, slow=115 |
-0.3% | -17.5% | -0.01 | -0.02 | 1.0x | 12 | 54% |
| Donchian 채널 돌파 entryN=17, exitN=77 |
-2.2% | -31.0% | -0.23 | -0.07 | 0.9x | 19 | 81% |
| Supertrend period=11, mult=2.9 |
-3.1% | -24.8% | -0.46 | -0.12 | 0.8x | 51 | 60% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.9% | -29.9% | -0.57 | -0.13 | 0.8x | 59 | 62% |
| MACD fast=19, slow=40, signal=20 |
-5.1% | -29.9% | -0.84 | -0.17 | 0.7x | 65 | 49% |
| Buy and hold | 2.2% | -20.0% | 0.25 | 0.11 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 57-day middle average