Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jack Henry & Associates, Inc. backtest
10 trend-following strategies were compared on the full daily history of Jack Henry & Associates, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -84.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -65.0%, Sharpe 0.51, 64% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=148 |
12.1% | -65.0% | 0.51 | 0.19 | 103.9x | 71 | 64% |
| EMA 크로스오버 fast=26, slow=128 |
11.4% | -72.1% | 0.50 | 0.16 | 82.8x | 93 | 66% |
| 볼린저 밴드 돌파 n=37, k=3.2 |
5.9% | -34.9% | 0.43 | 0.17 | 10.3x | 52 | 10% |
| Supertrend period=8, mult=5 |
8.8% | -66.9% | 0.42 | 0.13 | 31.5x | 119 | 58% |
| ROC 모멘텀 n=137, threshold=-0.11 |
8.2% | -87.9% | 0.40 | 0.09 | 24.4x | 243 | 82% |
| Donchian 채널 돌파 entryN=73, exitN=74 |
7.7% | -75.5% | 0.39 | 0.10 | 20.9x | 75 | 66% |
| ADX / DI 방향성 period=21, threshold=30 |
4.6% | -54.4% | 0.34 | 0.08 | 6.2x | 90 | 13% |
| MACD fast=32, slow=71, signal=42 |
5.8% | -85.5% | 0.34 | 0.07 | 9.8x | 227 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=11, mult=2.9 |
3.6% | -59.9% | 0.27 | 0.06 | 4.3x | 147 | 32% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.4% | -80.2% | 0.20 | 0.02 | 1.8x | 655 | 55% |
| Buy and hold | 16.1% | -84.7% | 0.55 | 0.19 | 445.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 40-day average falls below the 148-day average