Trend-Following Backtester · Guide · backtest 한국어
equity · BR
JSL S.A. backtest
10 trend-following strategies were compared on the full daily history of JSL S.A.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.3%, MDD -23.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.9%, drawdown -65.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.3%, MDD -23.6%, Sharpe 0.50, 13% exposure.
CAGR reference leader: Supertrend — CAGR 11.5%, MDD -42.4%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.2%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 7.3%, MDD -23.6%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=2.5 |
7.3% | -23.6% | 0.50 | 0.31 | 1.5x | 30 | 13% |
| Supertrend period=17, mult=1.9 |
11.5% | -42.4% | 0.50 | 0.27 | 1.9x | 63 | 47% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=8, mult=0.7 |
8.0% | -38.0% | 0.41 | 0.21 | 1.6x | 38 | 36% |
| MACD fast=10, slow=27, signal=16 |
4.7% | -56.0% | 0.31 | 0.08 | 1.3x | 85 | 50% |
| SMA 크로스오버 fast=40, slow=384 |
3.8% | -43.7% | 0.27 | 0.09 | 1.3x | 4 | 31% |
| Parabolic SAR step=0.015, maxStep=0.08 |
1.2% | -55.8% | 0.20 | 0.02 | 1.1x | 91 | 46% |
| EMA 크로스오버 fast=20, slow=142 |
0.9% | -48.7% | 0.19 | 0.02 | 1.1x | 10 | 37% |
| ROC 모멘텀 n=117, threshold=-0.04 |
-0.6% | -47.5% | 0.15 | -0.01 | 1.0x | 36 | 48% |
| ADX / DI 방향성 period=14, threshold=12 |
-0.6% | -58.9% | 0.15 | -0.01 | 1.0x | 109 | 45% |
| Donchian 채널 돌파 entryN=31, exitN=43 |
-2.6% | -40.9% | 0.10 | -0.06 | 0.9x | 16 | 55% |
| Buy and hold | -8.9% | -65.6% | 0.05 | -0.14 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 12-day middle average