Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Jyske Bank A/S backtest
10 trend-following strategies were compared on the full daily history of Jyske Bank A/S. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.5%, MDD -44.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.2%, drawdown -81.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -25.3%, Sharpe 0.59, 8% exposure.
CAGR reference leader: Supertrend — CAGR 9.5%, MDD -44.4%, exposure 55%.
Return/drawdown alternative: Supertrend — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 56.5%p (CAGR 9.5%, MDD -44.4%, exposure 55%).
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=33, k=3.5 |
3.7% | -25.3% | 0.59 | 0.15 | 2.2x | 14 | 8% |
| Supertrend period=18, mult=4.6 |
9.5% | -44.4% | 0.56 | 0.21 | 7.3x | 73 | 55% |
| ROC 모멘텀 n=154, threshold=-0.01 |
8.8% | -57.7% | 0.51 | 0.15 | 6.3x | 139 | 63% |
| Donchian 채널 돌파 entryN=108, exitN=16 |
5.9% | -36.0% | 0.51 | 0.16 | 3.5x | 59 | 29% |
| SMA 크로스오버 fast=40, slow=176 |
8.0% | -50.2% | 0.48 | 0.16 | 5.4x | 31 | 58% |
| EMA 크로스오버 fast=53, slow=149 |
8.0% | -48.0% | 0.47 | 0.17 | 5.3x | 27 | 63% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=2.3 |
5.8% | -40.0% | 0.45 | 0.15 | 3.5x | 105 | 34% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.3% | -61.6% | 0.36 | 0.09 | 3.1x | 185 | 53% |
| ADX / DI 방향성 period=19, threshold=25 |
2.1% | -28.6% | 0.26 | 0.07 | 1.6x | 98 | 18% |
| MACD fast=24, slow=51, signal=18 |
2.6% | -49.9% | 0.23 | 0.05 | 1.8x | 211 | 52% |
| Buy and hold | 8.2% | -81.7% | 0.42 | 0.10 | 5.6x | 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 33-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 33-day middle average