Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan BetaBuilders Japan ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan BetaBuilders Japan ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.2%, MDD -23.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -34.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -23.2%, Sharpe 0.51, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 11.4%p (CAGR 6.2%, MDD -23.2%, exposure 64%).
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=39, slow=206 |
6.2% | -23.2% | 0.51 | 0.27 | 1.6x | 9 | 64% |
| ROC 모멘텀 n=56, threshold=-0.09 |
5.4% | -37.2% | 0.41 | 0.15 | 1.5x | 29 | 90% |
| EMA 크로스오버 fast=59, slow=116 |
4.3% | -23.5% | 0.38 | 0.18 | 1.4x | 11 | 65% |
| Donchian 채널 돌파 entryN=72, exitN=69 |
3.6% | -21.9% | 0.33 | 0.16 | 1.3x | 13 | 63% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
0.7% | -11.8% | 0.16 | 0.06 | 1.1x | 10 | 10% |
| Supertrend period=16, mult=4 |
0.0% | -25.4% | 0.07 | 0.00 | 1.0x | 53 | 61% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=33, mult=3.8 |
-0.2% | -6.7% | -0.05 | -0.03 | 1.0x | 6 | 3% |
| ADX / DI 방향성 period=23, threshold=27 |
-0.2% | -3.6% | -0.16 | -0.07 | 1.0x | 2 | 1% |
| MACD fast=23, slow=59, signal=15 |
-4.2% | -40.8% | -0.32 | -0.10 | 0.7x | 89 | 49% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-7.1% | -52.3% | -0.53 | -0.13 | 0.5x | 119 | 55% |
| Buy and hold | 5.6% | -34.6% | 0.38 | 0.16 | 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 39-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 39-day average falls below the 206-day average