Trend-Following Backtester · Guide · backtest 한국어
equity · GB
JTC Plc backtest
10 trend-following strategies were compared on the full daily history of JTC Plc. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 18.6%, drawdown -39.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.4%, MDD -32.2%, Sharpe 0.76, 59% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.4%, MDD -39.0%, exposure 100%. 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=85, slow=107 |
18.4% | -32.2% | 0.76 | 0.57 | 4.1x | 25 | 59% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.13 |
20.4% | -39.0% | 0.70 | 0.52 | 4.7x | 3 | 100% |
| Parabolic SAR step=0.01, maxStep=0.12 |
11.6% | -53.2% | 0.57 | 0.22 | 2.5x | 100 | 56% |
| ADX / DI 방향성 period=22, threshold=24 |
7.1% | -14.2% | 0.56 | 0.50 | 1.8x | 27 | 20% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=2.5 |
6.0% | -15.4% | 0.52 | 0.39 | 1.6x | 18 | 11% |
| MACD fast=16, slow=25, signal=18 |
9.7% | -45.4% | 0.51 | 0.21 | 2.2x | 100 | 49% |
| Supertrend period=17, mult=1.8 |
8.0% | -44.8% | 0.43 | 0.18 | 1.9x | 73 | 59% |
| Donchian 채널 돌파 entryN=83, exitN=72 |
5.7% | -41.7% | 0.34 | 0.14 | 1.6x | 9 | 63% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
2.6% | -15.4% | 0.31 | 0.17 | 1.2x | 4 | 3% |
| EMA 크로스오버 fast=52, slow=99 |
4.7% | -56.9% | 0.30 | 0.08 | 1.5x | 21 | 66% |
| Buy and hold | 18.6% | -39.0% | 0.66 | 0.48 | 4.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 85-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 85-day average falls below the 107-day average