Trend-Following Backtester · Guide · backtest 한국어
equity · US
J.B. Hunt Transport Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of J.B. Hunt Transport Services, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -72.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -60.4%, Sharpe 0.43, 76% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=47, exitN=105 |
8.7% | -60.4% | 0.43 | 0.14 | 35.7x | 67 | 76% |
| SMA 크로스오버 fast=59, slow=100 |
5.6% | -70.9% | 0.34 | 0.08 | 10.3x | 117 | 60% |
| Supertrend period=4, mult=3.4 |
5.5% | -56.6% | 0.34 | 0.10 | 10.0x | 245 | 54% |
| EMA 크로스오버 fast=57, slow=62 |
5.5% | -72.2% | 0.33 | 0.08 | 9.9x | 101 | 62% |
| ADX / DI 방향성 period=40, threshold=18 |
2.7% | -34.2% | 0.26 | 0.08 | 3.2x | 100 | 17% |
| ROC 모멘텀 n=106, threshold=-0.02 |
1.9% | -82.5% | 0.21 | 0.02 | 2.2x | 369 | 65% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
2.0% | -72.1% | 0.20 | 0.03 | 2.3x | 114 | 19% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=11, mult=3.9 |
1.3% | -47.5% | 0.16 | 0.03 | 1.7x | 72 | 13% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.3% | -79.7% | 0.14 | 0.00 | 1.1x | 354 | 56% |
| MACD fast=11, slow=25, signal=12 |
-3.8% | -90.0% | -0.02 | -0.04 | 0.2x | 784 | 50% |
| Buy and hold | 12.9% | -72.1% | 0.51 | 0.18 | 175.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 47 days
- Sell — Sell when price breaks below the lowest low of the last 105 days