Trend-Following Backtester · Guide · backtest 한국어
equity · HK
JD Logistics, Inc. backtest
10 trend-following strategies were compared on the full daily history of JD Logistics, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.2%, MDD -15.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.4%, drawdown -85.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.9%, MDD -15.8%, Sharpe 0.92, 7% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 35.4%p higher than buy and hold, while drawdown improves by 69.7%p (CAGR 6.2%, MDD -15.8%, exposure 4%).
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=15, atrPeriod=19, mult=3.3 |
12.9% | -15.8% | 0.92 | 0.82 | 1.9x | 4 | 7% |
| 볼린저 밴드 돌파 n=21, k=3.1 |
12.8% | -15.8% | 0.91 | 0.81 | 1.9x | 4 | 8% |
| ADX / DI 방향성 period=9, threshold=35 |
10.0% | -15.8% | 0.67 | 0.63 | 1.6x | 20 | 11% |
| ROC 모멘텀 n=28, threshold=0.29 |
6.2% | -15.8% | 0.51 | 0.39 | 1.4x | 24 | 4% |
| SMA 크로스오버 fast=58, slow=123 |
2.0% | -41.2% | 0.21 | 0.05 | 1.1x | 10 | 30% |
| EMA 크로스오버 fast=55, slow=148 |
-2.3% | -48.3% | 0.03 | -0.05 | 0.9x | 8 | 26% |
| Donchian 채널 돌파 entryN=103, exitN=76 |
-3.2% | -47.1% | 0.00 | -0.07 | 0.8x | 4 | 26% |
| MACD fast=15, slow=44, signal=16 |
-11.2% | -78.9% | -0.17 | -0.14 | 0.5x | 62 | 51% |
| Supertrend period=29, mult=4 |
-11.4% | -63.3% | -0.26 | -0.18 | 0.5x | 22 | 36% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-20.1% | -75.8% | -0.56 | -0.26 | 0.3x | 138 | 45% |
| Buy and hold | -22.4% | -85.5% | -0.28 | -0.26 | 0.3x | 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 15-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average