Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jacobs Solutions Inc. backtest
10 trend-following strategies were compared on the full daily history of Jacobs Solutions Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -78.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -71.0%, Sharpe 0.44, 63% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=220 |
8.4% | -71.0% | 0.44 | 0.12 | 42.8x | 51 | 63% |
| Donchian 채널 돌파 entryN=21, exitN=105 |
8.1% | -87.6% | 0.40 | 0.09 | 37.8x | 97 | 85% |
| SMA 크로스오버 fast=33, slow=208 |
6.2% | -68.5% | 0.36 | 0.09 | 16.2x | 79 | 60% |
| Supertrend period=19, mult=4.6 |
4.1% | -82.7% | 0.28 | 0.05 | 6.5x | 205 | 57% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
3.7% | -63.4% | 0.28 | 0.06 | 5.4x | 249 | 39% |
| MACD fast=27, slow=43, signal=23 |
3.2% | -88.1% | 0.25 | 0.04 | 4.2x | 417 | 51% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=25, mult=1.4 |
2.4% | -76.2% | 0.22 | 0.03 | 3.1x | 403 | 44% |
| ROC 모멘텀 n=124, threshold=-0.03 |
1.9% | -77.7% | 0.20 | 0.02 | 2.4x | 365 | 65% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.3% | -90.5% | 0.11 | -0.00 | 0.9x | 377 | 54% |
| ADX / DI 방향성 period=23, threshold=23 |
0.4% | -68.1% | 0.10 | 0.01 | 1.2x | 187 | 18% |
| Buy and hold | 13.1% | -78.7% | 0.52 | 0.17 | 307.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 220-day EMA
- Sell — Sell when the 59-day EMA falls below the 220-day EMA