Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan Ultra-Short Income ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan Ultra-Short Income ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -3.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -3.3%, Sharpe -0.07, 95% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -0.6%, exposure 9%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=111, threshold=-0.02 |
-0.1% | -3.3% | -0.07 | -0.03 | 1.0x | 3 | 95% |
| ADX / DI 방향성 period=39, threshold=18 |
-0.1% | -0.6% | -0.22 | -0.11 | 1.0x | 2 | 9% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
-0.1% | -0.8% | -0.31 | -0.11 | 1.0x | 2 | 5% |
| EMA 크로스오버 fast=45, slow=204 |
-0.5% | -4.9% | -0.42 | -0.10 | 1.0x | 8 | 62% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=3.3 |
-0.1% | -1.1% | -0.49 | -0.11 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=26, slow=283 |
-0.6% | -5.9% | -0.49 | -0.10 | 0.9x | 8 | 59% |
| Donchian 채널 돌파 entryN=118, exitN=46 |
-0.6% | -5.8% | -0.54 | -0.11 | 0.9x | 12 | 35% |
| MACD fast=41, slow=87, signal=71 |
-3.0% | -24.5% | -2.08 | -0.12 | 0.8x | 49 | 41% |
| Supertrend period=8, mult=5 |
-3.3% | -26.7% | -2.38 | -0.12 | 0.7x | 50 | 33% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.4% | -33.9% | -2.76 | -0.13 | 0.7x | 74 | 45% |
| Buy and hold | 0.1% | -3.3% | 0.05 | 0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 111-day return is greater than -2%
- Sell — Sell when the 111-day return drops to -2% or below