Trend-Following Backtester · Guide · backtest 한국어
etf · US
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 9.4%, MDD -20.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -42.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -20.8%, Sharpe 0.76, 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 9.4%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=83 |
9.4% | -20.8% | 0.76 | 0.45 | 2.1x | 9 | 81% |
| EMA 크로스오버 fast=38, slow=73 |
7.9% | -22.9% | 0.69 | 0.35 | 1.8x | 17 | 76% |
| SMA 크로스오버 fast=11, slow=209 |
7.8% | -21.7% | 0.68 | 0.36 | 1.8x | 15 | 71% |
| ROC 모멘텀 n=125, threshold=-0.01 |
6.7% | -19.6% | 0.61 | 0.34 | 1.7x | 49 | 73% |
| ADX / DI 방향성 period=41, threshold=14 |
2.9% | -8.9% | 0.56 | 0.32 | 1.3x | 22 | 16% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=18, mult=4 |
2.9% | -16.1% | 0.41 | 0.18 | 1.3x | 21 | 41% |
| MACD fast=9, slow=30, signal=15 |
3.5% | -17.8% | 0.37 | 0.20 | 1.3x | 126 | 50% |
| 볼린저 밴드 돌파 n=18, k=2.8 |
0.5% | -2.7% | 0.30 | 0.18 | 1.0x | 4 | 3% |
| Supertrend period=29, mult=4.5 |
2.7% | -39.6% | 0.28 | 0.07 | 1.2x | 41 | 72% |
| Parabolic SAR step=0.02, maxStep=0.16 |
1.4% | -23.6% | 0.18 | 0.06 | 1.1x | 172 | 60% |
| Buy and hold | 9.8% | -42.8% | 0.57 | 0.23 | 2.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 48 days
- Sell — Sell when price breaks below the lowest low of the last 83 days