Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Jardine Matheson Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Jardine Matheson Holdings Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -38.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -55.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -38.3%, Sharpe 0.50, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 17.4%p (CAGR 9.3%, MDD -38.3%, exposure 60%).
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=40, slow=178 |
9.3% | -38.3% | 0.50 | 0.24 | 10.8x | 44 | 60% |
| EMA 크로스오버 fast=58, slow=150 |
8.8% | -43.1% | 0.47 | 0.20 | 9.4x | 36 | 63% |
| Donchian 채널 돌파 entryN=88, exitN=59 |
7.2% | -42.1% | 0.42 | 0.17 | 6.3x | 46 | 54% |
| ADX / DI 방향성 period=29, threshold=21 |
4.5% | -26.3% | 0.37 | 0.17 | 3.2x | 64 | 18% |
| ROC 모멘텀 n=118, threshold=-0.04 |
2.7% | -73.5% | 0.23 | 0.04 | 2.0x | 254 | 72% |
| Supertrend period=25, mult=5 |
0.9% | -80.2% | 0.15 | 0.01 | 1.3x | 86 | 61% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=27, mult=3.4 |
0.2% | -36.5% | 0.09 | 0.01 | 1.1x | 68 | 19% |
| 볼린저 밴드 돌파 n=37, k=3 |
-1.3% | -37.2% | -0.04 | -0.03 | 0.7x | 57 | 14% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.2% | -88.6% | -0.17 | -0.07 | 0.2x | 429 | 53% |
| MACD fast=19, slow=40, signal=17 |
-8.8% | -93.5% | -0.32 | -0.09 | 0.1x | 349 | 50% |
| Buy and hold | 11.3% | -55.6% | 0.50 | 0.20 | 17.3x | 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 40-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 40-day average falls below the 178-day average