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JPMorgan BetaBuilders Canada ETF backtest

10 trend-following strategies were compared on the full daily history of JPMorgan BetaBuilders Canada ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.1%, MDD -20.8%).

Data 2018-08-09 ~ 2026-07-31daily bars 2,004 (8.0 years)Costs 0.5%Venue ARCXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.5%, drawdown -42.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -20.8%, Sharpe 0.73, 81% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 22.0%p (CAGR 9.1%, MDD -20.8%, exposure 81%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=48, exitN=83
9.1%-20.8%0.730.442.0x981%
EMA 크로스오버
fast=38, slow=73
7.5%-22.9%0.660.331.8x1776%
SMA 크로스오버
fast=11, slow=209
7.4%-21.7%0.650.341.8x1571%
ROC 모멘텀
n=125, threshold=-0.01
6.3%-19.6%0.580.321.6x4972%
ADX / DI 방향성
period=41, threshold=14
2.9%-8.9%0.560.321.3x2216%
Keltner 채널 돌파
emaPeriod=75, atrPeriod=18, mult=4
2.5%-16.1%0.360.161.2x2140%
MACD
fast=9, slow=30, signal=15
3.2%-17.8%0.340.181.3x12549%
볼린저 밴드 돌파
n=18, k=2.8
0.5%-2.1%0.310.221.0x22%
Supertrend
period=29, mult=4.5
2.3%-39.6%0.250.061.2x4171%
Parabolic SAR
step=0.02, maxStep=0.16
0.9%-23.6%0.140.041.1x17159%
Buy and hold9.5%-42.8%0.560.222.1x1100%
1x 2019 2020 2021 2022 2023 2024 2025 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -11% -21% -32% -43% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -20.8% (2022-03-30 → 2023-12-07), recovered after 1,258 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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