Trend-Following Backtester · Guide · backtest 한국어
equity · KR
제이앤티씨 backtest
10 trend-following strategies were compared on the full daily history of 제이앤티씨. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -16.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.9%, drawdown -70.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.6%, MDD -63.0%, Sharpe 0.50, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 7.2%p (CAGR 3.8%, MDD -16.5%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=48, slow=172 |
13.6% | -63.0% | 0.50 | 0.22 | 2.3x | 4 | 42% |
| ROC 모멘텀 n=97, threshold=0.03 |
13.1% | -49.7% | 0.50 | 0.26 | 2.2x | 42 | 42% |
| Supertrend period=14, mult=3.2 |
13.3% | -60.1% | 0.50 | 0.22 | 2.2x | 38 | 47% |
| SMA 크로스오버 fast=48, slow=140 |
10.8% | -63.0% | 0.45 | 0.17 | 1.9x | 8 | 37% |
| Donchian 채널 돌파 entryN=55, exitN=40 |
8.8% | -70.3% | 0.41 | 0.12 | 1.7x | 8 | 32% |
| MACD fast=7, slow=22, signal=3 |
6.7% | -51.3% | 0.36 | 0.13 | 1.5x | 220 | 50% |
| 볼린저 밴드 돌파 n=23, k=3 |
5.7% | -20.3% | 0.34 | 0.28 | 1.4x | 18 | 11% |
| ADX / DI 방향성 period=16, threshold=38 |
3.8% | -16.5% | 0.34 | 0.23 | 1.3x | 6 | 3% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.4% | -61.5% | 0.25 | 0.02 | 1.1x | 106 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=8, mult=0.7 |
0.7% | -62.1% | 0.23 | 0.01 | 1.0x | 86 | 37% |
| Buy and hold | 3.9% | -70.2% | 0.38 | 0.05 | 1.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 172-day EMA
- Sell — Sell when the 48-day EMA falls below the 172-day EMA