Trend-Following Backtester · Guide · backtest 한국어

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JB Hi-Fi Limited backtest

10 trend-following strategies were compared on the full daily history of JB Hi-Fi Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.1%, MDD -36.8%).

Data 2003-10-22 ~ 2026-07-31daily bars 5,770 (22.8 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 17.3%, drawdown -66.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.1%, MDD -36.8%, Sharpe 0.80, 47% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 29.7%p (CAGR 16.1%, MDD -36.8%, exposure 47%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=93, exitN=45
16.1%-36.8%0.800.4430.2x3647%
볼린저 밴드 돌파
n=70, k=2.1
13.4%-39.5%0.720.3417.6x6641%
SMA 크로스오버
fast=18, slow=158
13.3%-52.5%0.640.2517.3x4658%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=13, mult=3.3
10.6%-49.3%0.630.219.8x6836%
EMA 크로스오버
fast=25, slow=134
12.7%-55.8%0.610.2315.3x5261%
ADX / DI 방향성
period=50, threshold=17
8.0%-24.8%0.600.325.8x3621%
Supertrend
period=17, mult=5
12.2%-55.2%0.600.2213.8x6559%
ROC 모멘텀
n=83, threshold=0.11
10.2%-36.1%0.580.289.1x17438%
MACD
fast=51, slow=57, signal=54
10.0%-57.6%0.530.178.8x11754%
Parabolic SAR
step=0.005, maxStep=0.26
6.8%-49.7%0.400.144.5x18354%
Buy and hold17.3%-66.5%0.650.2637.5x1100%
1x 10x 2004 2007 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -33% -50% -66% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -36.8% (2020-02-09 → 2023-10-25), recovered after 1,733 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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