Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan European Discovery Trust plc backtest
10 trend-following strategies were compared on the full daily history of JPMorgan European Discovery Trust plc. 7 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 9.7%, MDD -19.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.9%, drawdown -78.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.7%, MDD -19.2%, Sharpe 1.37, 17% exposure.
CAGR reference leader: Parabolic SAR — CAGR 14.5%, MDD -37.4%, exposure 59%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 59.7%p (CAGR 9.7%, MDD -19.2%, exposure 17%).
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=14, atrPeriod=12, mult=3.9 |
9.7% | -19.2% | 1.37 | 0.50 | 29.0x | 112 | 17% |
| Donchian 채널 돌파 entryN=109, exitN=12 |
11.0% | -26.8% | 1.20 | 0.41 | 45.3x | 154 | 28% |
| ADX / DI 방향성 period=20, threshold=35 |
8.5% | -21.4% | 1.19 | 0.40 | 19.4x | 82 | 16% |
| 볼린저 밴드 돌파 n=27, k=3.3 |
6.8% | -13.7% | 1.18 | 0.50 | 11.1x | 30 | 8% |
| Parabolic SAR step=0.005, maxStep=0.04 |
14.5% | -37.4% | 1.04 | 0.39 | 138.5x | 208 | 59% |
| Supertrend period=28, mult=4.4 |
14.4% | -34.9% | 1.02 | 0.41 | 133.4x | 257 | 61% |
| SMA 크로스오버 fast=12, slow=135 |
13.0% | -44.9% | 0.92 | 0.29 | 85.9x | 88 | 61% |
| EMA 크로스오버 fast=15, slow=106 |
12.0% | -48.8% | 0.86 | 0.25 | 63.3x | 94 | 62% |
| ROC 모멘텀 n=89, threshold=-0.03 |
11.8% | -47.6% | 0.82 | 0.25 | 58.3x | 236 | 67% |
| MACD fast=21, slow=68, signal=7 |
10.9% | -41.0% | 0.80 | 0.26 | 42.9x | 440 | 54% |
| Buy and hold | 9.9% | -78.9% | 0.54 | 0.13 | 31.0x | 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 14-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average