Trend-Following Backtester · Guide · backtest 한국어
equity · US
JBT Marel Corporation backtest
10 trend-following strategies were compared on the full daily history of JBT Marel Corporation. 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 12.6%, drawdown -59.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -54.4%, Sharpe 0.46, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.5%, MDD -55.9%, exposure 91%.
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=22, slow=188 |
9.4% | -54.4% | 0.46 | 0.17 | 5.1x | 30 | 65% |
| Donchian 채널 돌파 entryN=6, exitN=72 |
10.5% | -55.9% | 0.45 | 0.19 | 6.1x | 51 | 91% |
| EMA 크로스오버 fast=51, slow=89 |
6.9% | -49.1% | 0.38 | 0.14 | 3.3x | 38 | 65% |
| ROC 모멘텀 n=141, threshold=0.1 |
4.7% | -47.8% | 0.31 | 0.10 | 2.3x | 158 | 47% |
| Supertrend period=20, mult=5 |
3.4% | -57.3% | 0.26 | 0.06 | 1.8x | 54 | 64% |
| MACD fast=19, slow=59, signal=19 |
1.6% | -51.7% | 0.20 | 0.03 | 1.3x | 180 | 52% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
1.2% | -16.2% | 0.20 | 0.07 | 1.2x | 16 | 5% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=18, mult=2.5 |
1.8% | -35.4% | 0.19 | 0.05 | 1.4x | 76 | 41% |
| ADX / DI 방향성 period=39, threshold=15 |
-0.2% | -51.8% | 0.07 | -0.00 | 1.0x | 74 | 23% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-6.2% | -72.3% | -0.07 | -0.09 | 0.3x | 180 | 59% |
| Buy and hold | 12.6% | -59.6% | 0.49 | 0.21 | 8.6x | 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 22-day average price crosses above the 188-day average
- Sell — Sell (to cash) when the 22-day average falls below the 188-day average