Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan BetaBuilders U.S. Aggregate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan BetaBuilders U.S. Aggregate Bond ETF. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.8%, drawdown -24.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -2.2%, Sharpe 0.29, 3% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR -0.0%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=37 |
0.3% | -2.2% | 0.29 | 0.12 | 1.0x | 2 | 3% |
| 볼린저 밴드 돌파 n=55, k=3.1 |
-0.2% | -6.2% | -0.09 | -0.03 | 1.0x | 6 | 10% |
| ROC 모멘텀 n=11, threshold=0.07 |
-0.0% | -0.5% | -0.15 | -0.09 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=41, slow=91 |
-0.8% | -12.7% | -0.18 | -0.06 | 0.9x | 22 | 43% |
| Donchian 채널 돌파 entryN=44, exitN=20 |
-0.6% | -11.6% | -0.20 | -0.05 | 1.0x | 20 | 33% |
| EMA 크로스오버 fast=55, slow=154 |
-0.8% | -12.2% | -0.21 | -0.07 | 0.9x | 10 | 39% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=3.8 |
-0.4% | -5.1% | -0.23 | -0.08 | 1.0x | 12 | 10% |
| Supertrend period=21, mult=4.8 |
-1.0% | -13.0% | -0.28 | -0.08 | 0.9x | 28 | 40% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-1.3% | -15.4% | -0.34 | -0.08 | 0.9x | 34 | 47% |
| MACD fast=42, slow=89, signal=27 |
-1.9% | -17.0% | -0.48 | -0.11 | 0.9x | 34 | 42% |
| Buy and hold | -1.8% | -24.0% | -0.28 | -0.07 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)