Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jabil Inc. backtest
10 trend-following strategies were compared on the full daily history of Jabil Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.4%, MDD -71.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.0%, drawdown -95.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.4%, MDD -71.3%, Sharpe 0.57, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 23.9%p (CAGR 15.4%, MDD -71.3%, exposure 60%).
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=27, slow=124 |
15.4% | -71.3% | 0.57 | 0.22 | 118.1x | 73 | 60% |
| SMA 크로스오버 fast=51, slow=184 |
14.6% | -81.8% | 0.55 | 0.18 | 93.0x | 39 | 58% |
| Supertrend period=22, mult=4.6 |
12.8% | -76.7% | 0.52 | 0.17 | 54.6x | 130 | 55% |
| ROC 모멘텀 n=137, threshold=0.03 |
12.6% | -77.8% | 0.51 | 0.16 | 51.0x | 239 | 54% |
| Donchian 채널 돌파 entryN=26, exitN=66 |
12.3% | -90.1% | 0.49 | 0.14 | 47.0x | 94 | 75% |
| Parabolic SAR step=0.005, maxStep=0.2 |
11.1% | -73.1% | 0.47 | 0.15 | 32.9x | 282 | 56% |
| MACD fast=14, slow=51, signal=18 |
10.9% | -77.7% | 0.46 | 0.14 | 31.4x | 384 | 52% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
5.8% | -38.3% | 0.45 | 0.15 | 6.6x | 34 | 9% |
| ADX / DI 방향성 period=21, threshold=26 |
4.6% | -49.5% | 0.32 | 0.09 | 4.4x | 94 | 15% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=17, mult=1.3 |
4.7% | -73.0% | 0.31 | 0.06 | 4.6x | 288 | 47% |
| Buy and hold | 19.0% | -95.2% | 0.59 | 0.20 | 328.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 124-day EMA
- Sell — Sell when the 27-day EMA falls below the 124-day EMA