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 15.6%, MDD -39.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.0%, drawdown -59.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.4%, MDD -40.1%, Sharpe 0.67, 40% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.6%, MDD -39.8%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.6%p lower than buy and hold, while drawdown improves by 19.4%p (CAGR 15.6%, 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 |
13.4% | -40.1% | 0.67 | 0.34 | 8.1x | 65 | 40% |
| EMA 크로스오버 fast=53, slow=109 |
15.6% | -39.8% | 0.64 | 0.39 | 11.0x | 24 | 61% |
| Supertrend period=17, mult=5 |
14.9% | -51.7% | 0.63 | 0.29 | 10.0x | 39 | 59% |
| Donchian 채널 돌파 entryN=13, exitN=24 |
15.4% | -47.1% | 0.63 | 0.33 | 10.8x | 87 | 66% |
| SMA 크로스오버 fast=13, slow=65 |
13.0% | -55.1% | 0.59 | 0.24 | 7.6x | 67 | 56% |
| ROC 모멘텀 n=83, threshold=-0.04 |
12.5% | -46.1% | 0.56 | 0.27 | 7.0x | 157 | 64% |
| MACD fast=16, slow=49, signal=19 |
10.8% | -48.5% | 0.53 | 0.22 | 5.4x | 157 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=2.3 |
9.3% | -60.0% | 0.52 | 0.15 | 4.4x | 67 | 38% |
| ADX / DI 방향성 period=25, threshold=11 |
8.0% | -48.5% | 0.43 | 0.17 | 3.6x | 183 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
4.6% | -59.1% | 0.30 | 0.08 | 2.1x | 292 | 53% |
| Buy and hold | 20.0% | -59.5% | 0.67 | 0.34 | 20.5x | 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