Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan China Growth & Income PLC backtest
10 trend-following strategies were compared on the full daily history of JPMorgan China Growth & Income PLC. 10 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 7.1%, MDD -12.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.2%, drawdown -83.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.1%, MDD -12.1%, Sharpe 1.05, 4% exposure.
CAGR reference leader: Supertrend — CAGR 13.4%, MDD -53.2%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 71.0%p (CAGR 7.1%, MDD -12.1%, exposure 4%).
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=5, atrPeriod=12, mult=2.4 |
7.1% | -12.1% | 1.05 | 0.59 | 9.5x | 60 | 4% |
| Supertrend period=16, mult=3.6 |
13.4% | -53.2% | 0.76 | 0.25 | 62.4x | 204 | 49% |
| 볼린저 밴드 돌파 n=15, k=2 |
9.4% | -38.8% | 0.68 | 0.24 | 18.8x | 318 | 28% |
| Donchian 채널 돌파 entryN=39, exitN=9 |
7.8% | -32.2% | 0.58 | 0.24 | 11.6x | 188 | 31% |
| Parabolic SAR step=0.035, maxStep=0.06 |
9.8% | -41.9% | 0.57 | 0.23 | 21.7x | 477 | 53% |
| ADX / DI 방향성 period=9, threshold=30 |
6.8% | -51.0% | 0.53 | 0.13 | 8.8x | 410 | 29% |
| ROC 모멘텀 n=166, threshold=-0.03 |
8.5% | -42.0% | 0.50 | 0.20 | 14.6x | 156 | 58% |
| SMA 크로스오버 fast=4, slow=66 |
7.7% | -39.6% | 0.49 | 0.20 | 11.5x | 200 | 53% |
| EMA 크로스오버 fast=57, slow=188 |
7.3% | -53.1% | 0.44 | 0.14 | 9.9x | 32 | 54% |
| MACD fast=5, slow=53, signal=19 |
5.3% | -50.6% | 0.36 | 0.11 | 5.5x | 558 | 50% |
| Buy and hold | 3.2% | -83.1% | 0.25 | 0.04 | 2.8x | 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 5-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 5-day average