Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Jamieson Wellness, Inc. backtest
10 trend-following strategies were compared on the full daily history of Jamieson Wellness, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.4%, MDD -34.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -48.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.4%, MDD -34.0%, Sharpe 0.56, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 14.7%p (CAGR 9.4%, MDD -34.0%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=48 |
9.4% | -34.0% | 0.56 | 0.28 | 2.3x | 33 | 57% |
| 볼린저 밴드 돌파 n=55, k=1.5 |
7.6% | -28.5% | 0.53 | 0.27 | 1.9x | 43 | 46% |
| SMA 크로스오버 fast=11, slow=72 |
8.6% | -31.5% | 0.52 | 0.27 | 2.1x | 37 | 55% |
| Donchian 채널 돌파 entryN=27, exitN=28 |
8.0% | -38.8% | 0.50 | 0.21 | 2.0x | 37 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=3.7 |
5.0% | -22.0% | 0.47 | 0.23 | 1.6x | 19 | 29% |
| ADX / DI 방향성 period=36, threshold=25 |
2.9% | -10.2% | 0.44 | 0.28 | 1.3x | 11 | 9% |
| ROC 모멘텀 n=172, threshold=-0.14 |
7.2% | -48.4% | 0.40 | 0.15 | 1.9x | 27 | 83% |
| Supertrend period=29, mult=5 |
5.0% | -51.7% | 0.35 | 0.10 | 1.6x | 25 | 57% |
| MACD fast=16, slow=58, signal=19 |
4.3% | -38.9% | 0.34 | 0.11 | 1.5x | 87 | 51% |
| Parabolic SAR step=0.01, maxStep=0.18 |
1.8% | -54.0% | 0.19 | 0.03 | 1.2x | 125 | 55% |
| Buy and hold | 11.0% | -48.7% | 0.52 | 0.23 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 48-day EMA
- Sell — Sell when the 19-day EMA falls below the 48-day EMA