Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan European Growth & Income PLC GBP backtest
10 trend-following strategies were compared on the full daily history of JPMorgan European Growth & Income PLC GBP. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -87.1%).
Sharpe leader (same as main): Supertrend — CAGR 3.7%, MDD -80.3%, Sharpe 0.33, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.6%, MDD -86.5%, exposure 95%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=26, mult=4.5 |
3.7% | -80.3% | 0.33 | 0.05 | 7.8x | 341 | 58% |
| EMA 크로스오버 fast=29, slow=154 |
3.6% | -80.9% | 0.32 | 0.04 | 7.3x | 91 | 64% |
| SMA 크로스오버 fast=7, slow=215 |
3.4% | -80.5% | 0.31 | 0.04 | 6.6x | 125 | 64% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=26, mult=2.2 |
2.7% | -83.8% | 0.28 | 0.03 | 4.6x | 270 | 46% |
| ROC 모멘텀 Hold-like · Exposure 95% n=40, threshold=-0.14 |
6.6% | -86.5% | 0.28 | 0.08 | 37.7x | 85 | 95% |
| Donchian 채널 돌파 entryN=9, exitN=59 |
5.0% | -85.9% | 0.25 | 0.06 | 15.6x | 259 | 87% |
| ADX / DI 방향성 period=34, threshold=25 |
1.3% | -78.3% | 0.20 | 0.02 | 2.1x | 118 | 28% |
| 볼린저 밴드 돌파 n=54, k=1.1 |
3.9% | -87.0% | 0.20 | 0.04 | 8.7x | 302 | 49% |
| Parabolic SAR step=0.01, maxStep=0.22 |
2.6% | -88.0% | 0.19 | 0.03 | 4.4x | 510 | 57% |
| MACD fast=18, slow=52, signal=13 |
0.8% | -93.4% | 0.16 | 0.01 | 1.6x | 616 | 50% |
| Buy and hold | 6.1% | -87.1% | 0.28 | 0.07 | 29.2x | 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) — 26-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)