Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan U.S. Quality Factor ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan U.S. Quality Factor ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 13.2%, drawdown -32.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.6%, MDD -23.3%, Sharpe 0.89, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=17, threshold=-0.11 |
13.6% | -23.3% | 0.89 | 0.58 | 3.1x | 7 | 98% |
| SMA 크로스오버 fast=11, slow=118 |
9.1% | -18.2% | 0.82 | 0.50 | 2.1x | 15 | 75% |
| EMA 크로스오버 fast=15, slow=111 |
8.8% | -22.2% | 0.80 | 0.40 | 2.1x | 19 | 77% |
| Donchian 채널 돌파 entryN=12, exitN=54 |
8.9% | -30.4% | 0.71 | 0.29 | 2.1x | 29 | 88% |
| Parabolic SAR step=0.015, maxStep=0.06 |
5.6% | -18.9% | 0.54 | 0.29 | 1.6x | 105 | 68% |
| Supertrend period=19, mult=3.5 |
5.1% | -18.6% | 0.51 | 0.27 | 1.6x | 67 | 67% |
| 볼린저 밴드 돌파 n=62, k=0.9 |
3.6% | -18.6% | 0.42 | 0.19 | 1.4x | 53 | 62% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=23, mult=1.5 |
3.4% | -19.8% | 0.40 | 0.17 | 1.3x | 55 | 64% |
| MACD fast=17, slow=47, signal=28 |
0.8% | -32.5% | 0.13 | 0.03 | 1.1x | 88 | 52% |
| ADX / DI 방향성 period=14, threshold=29 |
0.5% | -12.8% | 0.13 | 0.04 | 1.0x | 42 | 16% |
| Buy and hold | 13.2% | -32.9% | 0.79 | 0.40 | 3.0x | 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 17-day return is greater than -11%
- Sell — Sell when the 17-day return drops to -11% or below