Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan Emerging Markets Dividend Income plc GBP backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Emerging Markets Dividend Income plc GBP. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.2%, MDD -27.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.5%, drawdown -47.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.0%, MDD -6.5%, Sharpe 0.55, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.2%, MDD -27.2%, exposure 40%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 41.0%p (CAGR 4.2%, MDD -27.2%, exposure 40%).
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=22, mult=2.5 |
2.0% | -6.5% | 0.55 | 0.30 | 1.4x | 10 | 4% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
2.1% | -9.0% | 0.50 | 0.24 | 1.4x | 14 | 6% |
| Donchian 채널 돌파 entryN=113, exitN=62 |
4.2% | -27.2% | 0.43 | 0.16 | 2.0x | 17 | 40% |
| SMA 크로스오버 fast=27, slow=212 |
3.5% | -25.2% | 0.33 | 0.14 | 1.7x | 23 | 56% |
| Supertrend period=27, mult=5 |
2.7% | -29.2% | 0.28 | 0.09 | 1.5x | 33 | 56% |
| EMA 크로스오버 fast=42, slow=80 |
1.3% | -34.4% | 0.16 | 0.04 | 1.2x | 55 | 57% |
| ADX / DI 방향성 period=38, threshold=33 |
0.4% | -7.5% | 0.16 | 0.05 | 1.1x | 4 | 3% |
| ROC 모멘텀 n=146, threshold=-0.04 |
0.6% | -44.6% | 0.11 | 0.01 | 1.1x | 119 | 67% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-0.2% | -38.5% | 0.05 | -0.01 | 1.0x | 221 | 54% |
| MACD fast=24, slow=29, signal=23 |
-2.4% | -56.4% | -0.11 | -0.04 | 0.7x | 171 | 53% |
| Buy and hold | 4.5% | -47.5% | 0.32 | 0.10 | 2.0x | 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 + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average