Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan U.S. Momentum Factor ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan U.S. Momentum Factor ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.1%, MDD -25.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -34.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.1%, MDD -25.7%, Sharpe 0.85, 75% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.0%, MDD -32.6%, exposure 87%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 8.6%p (CAGR 11.1%, MDD -25.7%, exposure 75%).
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=10, slow=109 |
11.1% | -25.7% | 0.85 | 0.43 | 2.5x | 23 | 75% |
| SMA 크로스오버 fast=6, slow=122 |
10.6% | -19.2% | 0.83 | 0.55 | 2.4x | 27 | 73% |
| Donchian 채널 돌파 entryN=22, exitN=73 |
12.0% | -32.6% | 0.82 | 0.37 | 2.7x | 15 | 87% |
| ROC 모멘텀 n=39, threshold=-0.08 |
9.0% | -34.4% | 0.61 | 0.26 | 2.1x | 41 | 91% |
| Parabolic SAR step=0.01, maxStep=0.3 |
5.0% | -29.5% | 0.46 | 0.17 | 1.5x | 122 | 64% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=27, mult=1.5 |
4.4% | -23.1% | 0.45 | 0.19 | 1.4x | 80 | 56% |
| 볼린저 밴드 돌파 n=36, k=1 |
4.4% | -19.3% | 0.45 | 0.23 | 1.5x | 76 | 57% |
| Supertrend period=17, mult=4.8 |
4.8% | -24.4% | 0.45 | 0.20 | 1.5x | 47 | 66% |
| MACD fast=13, slow=34, signal=18 |
1.2% | -29.0% | 0.16 | 0.04 | 1.1x | 122 | 52% |
| ADX / DI 방향성 period=15, threshold=12 |
0.8% | -36.2% | 0.13 | 0.02 | 1.1x | 158 | 56% |
| Buy and hold | 14.4% | -34.3% | 0.77 | 0.42 | 3.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 10-day EMA crosses above the 109-day EMA
- Sell — Sell when the 10-day EMA falls below the 109-day EMA