Trend-Following Backtester · Guide · backtest 한국어
equity · AU
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 15.2%, MDD -36.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -66.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -36.8%, Sharpe 0.76, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 29.7%p (CAGR 15.2%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=93, exitN=45 |
15.2% | -36.8% | 0.76 | 0.41 | 25.3x | 38 | 47% |
| 볼린저 밴드 돌파 n=70, k=2.1 |
12.5% | -39.5% | 0.68 | 0.32 | 14.8x | 68 | 41% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=3.3 |
10.5% | -49.3% | 0.63 | 0.21 | 9.8x | 68 | 36% |
| ADX / DI 방향성 period=50, threshold=17 |
8.0% | -24.8% | 0.60 | 0.32 | 5.8x | 36 | 21% |
| SMA 크로스오버 fast=18, slow=158 |
12.2% | -52.5% | 0.59 | 0.23 | 14.0x | 48 | 58% |
| EMA 크로스오버 fast=25, slow=134 |
11.9% | -55.8% | 0.58 | 0.21 | 13.0x | 54 | 60% |
| ROC 모멘텀 n=83, threshold=0.11 |
10.0% | -36.1% | 0.58 | 0.28 | 8.9x | 178 | 38% |
| Supertrend period=17, mult=5 |
11.5% | -55.2% | 0.57 | 0.21 | 12.0x | 66 | 59% |
| MACD fast=51, slow=57, signal=54 |
9.2% | -57.6% | 0.50 | 0.16 | 7.4x | 118 | 54% |
| Parabolic SAR step=0.005, maxStep=0.26 |
6.1% | -49.7% | 0.38 | 0.12 | 3.9x | 184 | 54% |
| Buy and hold | 16.1% | -66.5% | 0.62 | 0.24 | 30.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 93 days
- Sell — Sell when price breaks below the lowest low of the last 45 days