Trend-Following Backtester · Guide · backtest 한국어
etf · GB
JPMorgan Japanese Investment Trust backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Japanese Investment Trust. 1 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 7.6%, MDD -35.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -74.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.6%, MDD -35.5%, Sharpe 0.53, 43% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.6%, MDD -61.3%, exposure 68%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 38.4%p (CAGR 7.6%, MDD -35.5%, exposure 43%).
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=49, atrPeriod=25, mult=2.2 |
7.6% | -35.5% | 0.53 | 0.21 | 62.6x | 260 | 43% |
| ADX / DI 방향성 period=30, threshold=23 |
6.4% | -36.8% | 0.52 | 0.17 | 33.9x | 136 | 27% |
| 볼린저 밴드 돌파 n=26, k=1.8 |
7.1% | -52.7% | 0.50 | 0.13 | 47.5x | 374 | 40% |
| Donchian 채널 돌파 entryN=40, exitN=74 |
8.6% | -61.3% | 0.49 | 0.14 | 105.8x | 129 | 68% |
| EMA 크로스오버 fast=41, slow=189 |
7.2% | -47.1% | 0.47 | 0.15 | 52.7x | 75 | 58% |
| SMA 크로스오버 fast=9, slow=198 |
7.0% | -46.3% | 0.46 | 0.15 | 45.8x | 119 | 58% |
| Supertrend period=13, mult=4.3 |
6.1% | -57.0% | 0.41 | 0.11 | 28.9x | 353 | 56% |
| ROC 모멘텀 n=131, threshold=-0.04 |
6.0% | -74.5% | 0.39 | 0.08 | 27.8x | 311 | 67% |
| MACD fast=23, slow=50, signal=19 |
4.2% | -66.3% | 0.31 | 0.06 | 10.4x | 474 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.8% | -64.5% | 0.29 | 0.06 | 8.1x | 361 | 56% |
| Buy and hold | 7.7% | -74.0% | 0.41 | 0.10 | 66.9x | 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 49-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 49-day average