Trend-Following Backtester · Guide · backtest 한국어
equity · GB
JD Sports Fashion Plc backtest
10 trend-following strategies were compared on the full daily history of JD Sports Fashion Plc. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.8%, MDD -25.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.0%, drawdown -87.9%).
Sharpe leader (same as main): Supertrend — CAGR 22.1%, MDD -44.4%, Sharpe 0.88, 61% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 11.8%, MDD -25.9%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=5 |
22.1% | -44.4% | 0.88 | 0.50 | 379.1x | 117 | 61% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=3.1 |
11.8% | -25.9% | 0.86 | 0.46 | 27.7x | 102 | 19% |
| 볼린저 밴드 돌파 n=26, k=2.4 |
13.0% | -43.6% | 0.75 | 0.30 | 38.1x | 155 | 31% |
| Donchian 채널 돌파 entryN=16, exitN=23 |
17.9% | -75.0% | 0.75 | 0.24 | 134.4x | 165 | 60% |
| ADX / DI 방향성 period=20, threshold=17 |
14.3% | -48.0% | 0.72 | 0.30 | 53.0x | 267 | 42% |
| SMA 크로스오버 fast=7, slow=201 |
14.9% | -58.8% | 0.67 | 0.25 | 62.6x | 69 | 58% |
| EMA 크로스오버 fast=19, slow=64 |
15.3% | -64.0% | 0.67 | 0.24 | 69.4x | 91 | 60% |
| ROC 모멘텀 n=43, threshold=-0.08 |
15.2% | -72.0% | 0.62 | 0.21 | 67.5x | 263 | 75% |
| Parabolic SAR step=0.03, maxStep=0.38 |
13.2% | -59.9% | 0.60 | 0.22 | 40.1x | 713 | 53% |
| MACD fast=18, slow=35, signal=13 |
11.4% | -72.0% | 0.55 | 0.16 | 24.8x | 361 | 51% |
| Buy and hold | 12.0% | -87.9% | 0.49 | 0.14 | 29.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)