Trend-Following Backtester · Guide · backtest 한국어
equity · US
Johnson Controls International plc backtest
10 trend-following strategies were compared on the full daily history of Johnson Controls International plc. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.0%, MDD -70.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.0%, drawdown -93.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -74.4%, Sharpe 0.48, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 8.0%, MDD -70.5%, exposure 65%).
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=17, slow=91 |
8.5% | -74.4% | 0.48 | 0.11 | 23.7x | 129 | 64% |
| Donchian 채널 돌파 entryN=73, exitN=67 |
8.0% | -73.5% | 0.47 | 0.11 | 19.8x | 57 | 61% |
| EMA 크로스오버 fast=30, slow=61 |
8.0% | -70.5% | 0.46 | 0.11 | 19.9x | 105 | 65% |
| Supertrend period=32, mult=5 |
7.7% | -72.0% | 0.44 | 0.11 | 18.0x | 115 | 64% |
| ROC 모멘텀 n=94, threshold=-0.08 |
7.5% | -72.5% | 0.42 | 0.10 | 16.8x | 233 | 79% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=21, mult=2.9 |
4.7% | -41.1% | 0.36 | 0.11 | 6.0x | 138 | 43% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
3.1% | -33.5% | 0.29 | 0.09 | 3.3x | 114 | 33% |
| ADX / DI 방향성 period=34, threshold=8 |
0.3% | -85.2% | 0.14 | 0.00 | 1.1x | 488 | 57% |
| MACD fast=16, slow=26, signal=7 |
-2.3% | -85.1% | 0.00 | -0.03 | 0.4x | 778 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.3% | -95.5% | -0.00 | -0.03 | 0.3x | 360 | 58% |
| Buy and hold | 8.0% | -93.8% | 0.40 | 0.09 | 19.9x | 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 17-day average price crosses above the 91-day average
- Sell — Sell (to cash) when the 17-day average falls below the 91-day average