Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan BetaBuilders Europe ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan BetaBuilders Europe ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -17.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.2%, drawdown -36.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.7%, MDD -17.3%, Sharpe 0.50, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 5.7%, MDD -17.3%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=28, slow=131 |
5.7% | -17.3% | 0.50 | 0.33 | 1.6x | 13 | 69% |
| Donchian 채널 돌파 entryN=51, exitN=78 |
5.6% | -18.0% | 0.48 | 0.31 | 1.6x | 13 | 75% |
| ADX / DI 방향성 period=36, threshold=10 |
3.6% | -11.8% | 0.44 | 0.31 | 1.3x | 58 | 37% |
| SMA 크로스오버 fast=28, slow=131 |
4.0% | -21.2% | 0.37 | 0.19 | 1.4x | 15 | 65% |
| ROC 모멘텀 n=97, threshold=-0.04 |
4.0% | -24.3% | 0.36 | 0.16 | 1.4x | 33 | 74% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=18, mult=1 |
2.2% | -16.3% | 0.25 | 0.13 | 1.2x | 60 | 58% |
| 볼린저 밴드 돌파 n=20, k=3 |
0.5% | -3.7% | 0.23 | 0.15 | 1.0x | 4 | 3% |
| MACD fast=18, slow=59, signal=19 |
0.5% | -31.2% | 0.10 | 0.02 | 1.0x | 82 | 49% |
| Supertrend period=14, mult=4.2 |
0.3% | -29.0% | 0.09 | 0.01 | 1.0x | 52 | 60% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-0.7% | -20.8% | 0.00 | -0.04 | 0.9x | 160 | 57% |
| Buy and hold | 5.2% | -36.3% | 0.36 | 0.14 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 131-day EMA
- Sell — Sell when the 28-day EMA falls below the 131-day EMA