Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan BetaBuilders International Equity ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan BetaBuilders International Equity ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.8%, MDD -17.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.1%, drawdown -33.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -19.8%, Sharpe 0.81, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 8.8%, MDD -17.5%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=122 |
9.6% | -19.8% | 0.81 | 0.49 | 1.9x | 7 | 66% |
| EMA 크로스오버 fast=36, slow=95 |
8.8% | -17.5% | 0.73 | 0.50 | 1.8x | 9 | 69% |
| ROC 모멘텀 n=101, threshold=-0.04 |
7.6% | -20.4% | 0.64 | 0.37 | 1.6x | 21 | 76% |
| Donchian 채널 돌파 entryN=34, exitN=78 |
3.7% | -25.9% | 0.34 | 0.14 | 1.3x | 15 | 78% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=3.9 |
2.2% | -13.0% | 0.30 | 0.17 | 1.2x | 20 | 36% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
0.9% | -6.0% | 0.27 | 0.15 | 1.1x | 5 | 8% |
| Supertrend period=13, mult=4.9 |
1.3% | -22.9% | 0.17 | 0.06 | 1.1x | 31 | 62% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.5% | -28.5% | 0.10 | 0.02 | 1.0x | 63 | 60% |
| ADX / DI 방향성 period=32, threshold=13 |
-0.4% | -13.3% | -0.03 | -0.03 | 1.0x | 34 | 23% |
| MACD fast=17, slow=30, signal=14 |
-3.3% | -34.5% | -0.25 | -0.10 | 0.8x | 98 | 48% |
| Buy and hold | 7.1% | -33.4% | 0.46 | 0.21 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 52-day average falls below the 122-day average