Trend-Following Backtester · Guide · backtest 한국어
equity · KR
JYP Ent. backtest
10 trend-following strategies were compared on the full daily history of JYP Ent.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -18.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.6%, drawdown -100.0%).
Sharpe leader (same as main): Supertrend — CAGR 9.5%, MDD -67.6%, Sharpe 0.43, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.2%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR -0.0%, MDD -18.4%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=39, mult=3.7 |
9.5% | -67.6% | 0.43 | 0.14 | 9.7x | 106 | 37% |
| EMA 크로스오버 fast=41, slow=247 |
6.0% | -80.7% | 0.34 | 0.07 | 4.3x | 24 | 42% |
| ROC 모멘텀 n=161, threshold=-0.03 |
4.4% | -80.3% | 0.31 | 0.06 | 2.9x | 174 | 51% |
| SMA 크로스오버 fast=48, slow=218 |
2.2% | -86.5% | 0.25 | 0.03 | 1.7x | 32 | 45% |
| MACD fast=10, slow=24, signal=11 |
-0.2% | -92.7% | 0.25 | -0.00 | 0.9x | 454 | 52% |
| 볼린저 밴드 돌파 n=75, k=0.8 |
1.7% | -92.5% | 0.24 | 0.02 | 1.5x | 114 | 36% |
| Donchian 채널 돌파 entryN=117, exitN=29 |
2.1% | -82.0% | 0.23 | 0.03 | 1.7x | 42 | 24% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=25, mult=2.1 |
1.4% | -81.0% | 0.20 | 0.02 | 1.4x | 126 | 15% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.5% | -90.9% | 0.17 | -0.03 | 0.5x | 478 | 47% |
| ADX / DI 방향성 period=36, threshold=37 |
-0.0% | -18.4% | 0.01 | -0.00 | 1.0x | 4 | 1% |
| Buy and hold | -15.6% | -100.0% | 0.09 | -0.16 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 39-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)