Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan Short Duration Core Plus ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Short Duration Core Plus ETF. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -0.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.3%, drawdown -11.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.1%, MDD -2.5%, Sharpe 0.07, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 8.6%p (CAGR -0.2%, MDD -0.9%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=216 |
0.1% | -2.5% | 0.07 | 0.04 | 1.0x | 2 | 42% |
| SMA 크로스오버 fast=57, slow=218 |
-0.2% | -3.9% | -0.08 | -0.04 | 1.0x | 4 | 48% |
| ROC 모멘텀 n=160, threshold=-0.03 |
-0.4% | -6.2% | -0.14 | -0.06 | 1.0x | 3 | 73% |
| Donchian 채널 돌파 entryN=37, exitN=76 |
-0.4% | -5.5% | -0.19 | -0.08 | 1.0x | 8 | 49% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=14, mult=3.4 |
-0.3% | -2.3% | -0.30 | -0.14 | 1.0x | 6 | 8% |
| 볼린저 밴드 돌파 n=44, k=2.9 |
-0.2% | -1.5% | -0.33 | -0.13 | 1.0x | 2 | 3% |
| ADX / DI 방향성 period=22, threshold=43 |
-0.2% | -0.9% | -0.46 | -0.19 | 1.0x | 2 | 6% |
| Supertrend period=12, mult=4.9 |
-1.2% | -7.3% | -0.56 | -0.16 | 0.9x | 16 | 52% |
| MACD fast=24, slow=50, signal=31 |
-3.7% | -18.7% | -1.62 | -0.20 | 0.8x | 41 | 42% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-3.9% | -19.5% | -1.75 | -0.20 | 0.8x | 40 | 47% |
| Buy and hold | -1.3% | -11.1% | -0.48 | -0.12 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 216-day EMA
- Sell — Sell when the 56-day EMA falls below the 216-day EMA