Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan ActiveBuilders Emerging Markets Equity ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan ActiveBuilders Emerging Markets Equity ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -16.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.4%, drawdown -40.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -18.5%, Sharpe 0.70, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 7.5%, MDD -16.7%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=86 |
9.7% | -18.5% | 0.70 | 0.52 | 1.7x | 14 | 54% |
| EMA 크로스오버 fast=56, slow=288 |
8.1% | -20.0% | 0.62 | 0.41 | 1.5x | 3 | 44% |
| Donchian 채널 돌파 entryN=54, exitN=74 |
7.5% | -16.7% | 0.56 | 0.45 | 1.5x | 5 | 60% |
| ROC 모멘텀 n=122, threshold=-0.04 |
5.7% | -22.2% | 0.43 | 0.25 | 1.4x | 35 | 66% |
| 볼린저 밴드 돌파 n=24, k=2.6 |
1.3% | -7.7% | 0.25 | 0.17 | 1.1x | 8 | 8% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=9, mult=3 |
0.0% | -3.3% | 0.03 | 0.01 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=32, threshold=16 |
-0.7% | -16.6% | -0.09 | -0.04 | 1.0x | 14 | 10% |
| Supertrend period=23, mult=4.4 |
-2.1% | -32.7% | -0.11 | -0.06 | 0.9x | 35 | 50% |
| MACD fast=8, slow=28, signal=6 |
-4.7% | -42.0% | -0.31 | -0.11 | 0.8x | 132 | 49% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-7.3% | -44.4% | -0.51 | -0.16 | 0.7x | 133 | 54% |
| Buy and hold | 4.4% | -40.4% | 0.32 | 0.11 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 59-day average falls below the 86-day average