Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jubilant Foodworks Limited backtest
10 trend-following strategies were compared on the full daily history of Jubilant Foodworks Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.7%, MDD -39.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.2%, drawdown -59.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.2%, MDD -40.1%, Sharpe 0.66, 39% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.7%, MDD -39.8%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.1%p lower than buy and hold, while drawdown improves by 19.4%p (CAGR 15.7%, MDD -39.8%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=1.8 |
13.2% | -40.1% | 0.66 | 0.33 | 7.7x | 64 | 39% |
| EMA 크로스오버 fast=53, slow=109 |
15.7% | -39.8% | 0.64 | 0.39 | 11.0x | 24 | 61% |
| Supertrend period=17, mult=5 |
14.9% | -51.7% | 0.63 | 0.29 | 9.8x | 38 | 59% |
| Donchian 채널 돌파 entryN=13, exitN=24 |
15.2% | -47.1% | 0.62 | 0.32 | 10.3x | 86 | 66% |
| SMA 크로스오버 fast=13, slow=65 |
13.0% | -55.1% | 0.59 | 0.24 | 7.5x | 66 | 56% |
| ROC 모멘텀 n=83, threshold=-0.04 |
12.3% | -46.1% | 0.55 | 0.27 | 6.7x | 155 | 64% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=2.3 |
9.0% | -60.0% | 0.51 | 0.15 | 4.1x | 66 | 38% |
| MACD fast=16, slow=49, signal=19 |
10.0% | -48.5% | 0.51 | 0.21 | 4.8x | 157 | 49% |
| ADX / DI 방향성 period=25, threshold=11 |
7.9% | -48.5% | 0.42 | 0.16 | 3.5x | 182 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
3.7% | -59.1% | 0.27 | 0.06 | 1.8x | 291 | 53% |
| Buy and hold | 19.2% | -59.5% | 0.66 | 0.32 | 18.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 51-day middle average