Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan Asia Growth & Income PLC GBP backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Asia Growth & Income PLC GBP. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.4%, MDD -27.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.9%, drawdown -62.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.4%, MDD -27.4%, Sharpe 0.80, 41% exposure.
CAGR reference leader: Supertrend — CAGR 11.2%, MDD -45.2%, exposure 58%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 9.4%, MDD -27.4%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=14, mult=1.7 |
9.4% | -27.4% | 0.80 | 0.34 | 13.5x | 192 | 41% |
| Supertrend period=14, mult=3.1 |
11.2% | -45.2% | 0.77 | 0.25 | 21.3x | 202 | 58% |
| EMA 크로스오버 fast=15, slow=140 |
10.0% | -36.2% | 0.71 | 0.28 | 15.5x | 65 | 60% |
| Donchian 채널 돌파 entryN=91, exitN=72 |
9.3% | -28.1% | 0.70 | 0.33 | 13.1x | 39 | 54% |
| 볼린저 밴드 돌파 n=27, k=1.6 |
8.1% | -31.1% | 0.69 | 0.26 | 9.4x | 228 | 42% |
| SMA 크로스오버 fast=29, slow=199 |
9.7% | -33.4% | 0.68 | 0.29 | 14.6x | 39 | 59% |
| Parabolic SAR step=0.01, maxStep=0.32 |
9.6% | -40.1% | 0.67 | 0.24 | 14.1x | 366 | 56% |
| ROC 모멘텀 n=149, threshold=0.11 |
5.9% | -30.5% | 0.53 | 0.19 | 5.2x | 151 | 38% |
| MACD fast=17, slow=43, signal=10 |
7.0% | -41.6% | 0.52 | 0.17 | 7.1x | 382 | 53% |
| ADX / DI 방향성 period=34, threshold=11 |
5.8% | -50.3% | 0.50 | 0.12 | 5.2x | 246 | 46% |
| Buy and hold | 6.9% | -62.5% | 0.40 | 0.11 | 6.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average