Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Jupiter Fund Management plc backtest
10 trend-following strategies were compared on the full daily history of Jupiter Fund Management plc. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.9%, MDD -19.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -89.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -19.0%, Sharpe 0.52, 12% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 5.1%, MDD -21.5%, exposure 15%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 70.3%p (CAGR 4.9%, MDD -19.0%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=22 |
4.9% | -19.0% | 0.52 | 0.26 | 2.2x | 18 | 12% |
| 볼린저 밴드 돌파 n=55, k=3.1 |
5.1% | -21.5% | 0.51 | 0.24 | 2.2x | 18 | 15% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=3 |
4.4% | -40.4% | 0.38 | 0.11 | 2.0x | 44 | 26% |
| ROC 모멘텀 n=78, threshold=0.22 |
3.4% | -36.1% | 0.36 | 0.10 | 1.7x | 98 | 13% |
| Supertrend period=26, mult=1.5 |
4.5% | -57.9% | 0.31 | 0.08 | 2.0x | 242 | 52% |
| SMA 크로스오버 fast=36, slow=62 |
4.3% | -46.9% | 0.31 | 0.09 | 2.0x | 61 | 50% |
| Donchian 채널 돌파 entryN=40, exitN=30 |
3.2% | -52.4% | 0.26 | 0.06 | 1.7x | 52 | 41% |
| EMA 크로스오버 fast=24, slow=79 |
-0.0% | -72.4% | 0.10 | -0.00 | 1.0x | 58 | 49% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-1.8% | -69.4% | 0.03 | -0.03 | 0.7x | 306 | 52% |
| MACD fast=15, slow=45, signal=24 |
-1.8% | -75.8% | 0.03 | -0.02 | 0.7x | 170 | 50% |
| Buy and hold | -1.2% | -89.2% | 0.13 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)