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. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -17.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.7%, drawdown -40.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.6%, MDD -20.0%, Sharpe 0.59, 43% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 6.4%, MDD -17.9%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=61, slow=279 |
7.6% | -20.0% | 0.59 | 0.38 | 1.5x | 3 | 43% |
| SMA 크로스오버 fast=35, slow=106 |
7.0% | -24.1% | 0.53 | 0.29 | 1.4x | 9 | 51% |
| Donchian 채널 돌파 entryN=69, exitN=74 |
6.4% | -17.9% | 0.50 | 0.36 | 1.4x | 5 | 55% |
| ROC 모멘텀 n=169, threshold=0.04 |
3.5% | -20.6% | 0.33 | 0.17 | 1.2x | 31 | 39% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=2.2 |
0.3% | -23.5% | 0.08 | 0.01 | 1.0x | 30 | 37% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
-0.6% | -26.9% | 0.00 | -0.02 | 1.0x | 30 | 37% |
| Supertrend period=23, mult=4.4 |
-1.5% | -32.7% | -0.06 | -0.05 | 0.9x | 34 | 50% |
| ADX / DI 방향성 period=27, threshold=16 |
-1.1% | -15.6% | -0.13 | -0.07 | 0.9x | 18 | 15% |
| MACD fast=18, slow=50, signal=30 |
-5.5% | -37.8% | -0.38 | -0.15 | 0.7x | 48 | 47% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-6.9% | -48.8% | -0.50 | -0.14 | 0.7x | 112 | 52% |
| Buy and hold | 3.7% | -40.4% | 0.28 | 0.09 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 61-day EMA crosses above the 279-day EMA
- Sell — Sell when the 61-day EMA falls below the 279-day EMA