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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.1%, MDD -18.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.9%, drawdown -36.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -22.1%, Sharpe 0.57, 80% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 14.2%p (CAGR 6.1%, MDD -18.0%, exposure 67%).
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=29, exitN=97 |
7.4% | -22.1% | 0.57 | 0.33 | 1.8x | 13 | 80% |
| EMA 크로스오버 fast=35, slow=103 |
6.1% | -18.0% | 0.53 | 0.34 | 1.6x | 15 | 67% |
| ROC 모멘텀 n=86, threshold=-0.06 |
5.9% | -19.8% | 0.48 | 0.30 | 1.6x | 39 | 78% |
| SMA 크로스오버 fast=16, slow=183 |
4.0% | -25.9% | 0.37 | 0.15 | 1.4x | 15 | 67% |
| 볼린저 밴드 돌파 n=38, k=2.4 |
1.5% | -17.6% | 0.25 | 0.08 | 1.1x | 22 | 21% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=20, mult=3.5 |
1.3% | -12.4% | 0.20 | 0.10 | 1.1x | 26 | 27% |
| ADX / DI 방향성 period=29, threshold=12 |
1.4% | -15.1% | 0.20 | 0.09 | 1.1x | 70 | 34% |
| Supertrend period=7, mult=5 |
0.4% | -21.6% | 0.10 | 0.02 | 1.0x | 41 | 57% |
| MACD fast=16, slow=50, signal=12 |
-0.9% | -33.3% | -0.03 | -0.03 | 0.9x | 107 | 47% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.0% | -27.9% | -0.11 | -0.07 | 0.9x | 81 | 59% |
| Buy and hold | 5.9% | -36.3% | 0.39 | 0.16 | 1.6x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 97 days