Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jack In The Box Inc. backtest
10 trend-following strategies were compared on the full daily history of Jack In The Box Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.5%, MDD -33.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.2%, drawdown -92.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -33.9%, Sharpe 0.40, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -71.4%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 58.4%p (CAGR 4.5%, MDD -33.9%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=3.3 |
4.5% | -33.9% | 0.40 | 0.13 | 4.5x | 43 | 15% |
| SMA 크로스오버 fast=10, slow=45 |
4.5% | -71.4% | 0.30 | 0.06 | 4.6x | 221 | 54% |
| EMA 크로스오버 fast=31, slow=61 |
4.4% | -68.0% | 0.30 | 0.06 | 4.4x | 95 | 52% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=4 |
3.1% | -37.6% | 0.29 | 0.08 | 2.9x | 64 | 19% |
| Donchian 채널 돌파 entryN=16, exitN=62 |
3.9% | -84.4% | 0.28 | 0.05 | 3.7x | 109 | 76% |
| MACD fast=27, slow=58, signal=23 |
4.0% | -79.5% | 0.28 | 0.05 | 3.9x | 263 | 54% |
| Supertrend period=16, mult=4.4 |
2.9% | -69.2% | 0.24 | 0.04 | 2.7x | 127 | 53% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.3% | -61.2% | 0.22 | 0.04 | 2.2x | 284 | 53% |
| ADX / DI 방향성 period=39, threshold=17 |
0.9% | -47.5% | 0.13 | 0.02 | 1.4x | 106 | 21% |
| ROC 모멘텀 n=133, threshold=0.09 |
-1.0% | -77.8% | 0.06 | -0.01 | 0.7x | 260 | 40% |
| Buy and hold | 2.2% | -92.3% | 0.27 | 0.02 | 2.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 46-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 46-day middle average