Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Jardine Cycle & Carriage Limited backtest
10 trend-following strategies were compared on the full daily history of Jardine Cycle & Carriage Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.6%, MDD -43.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.8%, drawdown -68.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -43.7%, Sharpe 0.43, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.6%, MDD -63.2%, exposure 76%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 7.6%, MDD -43.7%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=12, slow=145 |
7.6% | -43.7% | 0.43 | 0.17 | 7.0x | 74 | 53% |
| EMA 크로스오버 fast=45, slow=123 |
7.1% | -59.0% | 0.41 | 0.12 | 6.3x | 46 | 53% |
| Donchian 채널 돌파 entryN=14, exitN=64 |
7.6% | -63.2% | 0.40 | 0.12 | 7.0x | 91 | 76% |
| Supertrend period=28, mult=5 |
6.7% | -47.4% | 0.39 | 0.14 | 5.6x | 90 | 54% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
5.6% | -56.1% | 0.36 | 0.10 | 4.2x | 146 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=1.4 |
5.2% | -52.0% | 0.34 | 0.10 | 3.8x | 188 | 43% |
| ADX / DI 방향성 period=35, threshold=24 |
2.8% | -28.4% | 0.31 | 0.10 | 2.1x | 26 | 8% |
| ROC 모멘텀 n=116, threshold=0.09 |
2.3% | -71.0% | 0.21 | 0.03 | 1.8x | 222 | 38% |
| MACD fast=24, slow=40, signal=15 |
1.2% | -63.6% | 0.17 | 0.02 | 1.4x | 301 | 51% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-0.1% | -64.7% | 0.11 | -0.00 | 1.0x | 507 | 50% |
| Buy and hold | 6.8% | -68.8% | 0.36 | 0.10 | 5.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 12-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 12-day average falls below the 145-day average