Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan U.S. Value Factor ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan U.S. Value Factor ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.0%, MDD -22.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -40.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.0%, MDD -23.7%, Sharpe 0.70, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 16.7%p (CAGR 9.0%, MDD -22.2%, exposure 86%).
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 Hold-like · Exposure 97% n=8, threshold=-0.07 |
11.0% | -23.7% | 0.70 | 0.46 | 2.5x | 27 | 97% |
| Donchian 채널 돌파 entryN=22, exitN=75 |
9.0% | -22.2% | 0.66 | 0.40 | 2.1x | 19 | 86% |
| EMA 크로스오버 fast=42, slow=87 |
6.3% | -19.1% | 0.56 | 0.33 | 1.7x | 17 | 69% |
| SMA 크로스오버 fast=54, slow=88 |
6.3% | -23.8% | 0.54 | 0.27 | 1.7x | 23 | 67% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
2.2% | -9.0% | 0.52 | 0.24 | 1.2x | 4 | 7% |
| ADX / DI 방향성 period=39, threshold=21 |
1.4% | -6.7% | 0.43 | 0.20 | 1.1x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=35, mult=1.3 |
1.2% | -21.9% | 0.16 | 0.05 | 1.1x | 80 | 56% |
| Supertrend period=13, mult=3.8 |
0.9% | -26.0% | 0.13 | 0.03 | 1.1x | 75 | 60% |
| MACD fast=13, slow=34, signal=18 |
0.2% | -28.5% | 0.07 | 0.01 | 1.0x | 118 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
0.0% | -33.0% | 0.07 | 0.00 | 1.0x | 147 | 58% |
| Buy and hold | 10.0% | -40.4% | 0.59 | 0.25 | 2.3x | 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 8-day return is greater than -7%
- Sell — Sell when the 8-day return drops to -7% or below