Trend-Following Backtester · Guide · backtest 한국어
equity · US
JBT Marel Corporation backtest
10 trend-following strategies were compared on the full daily history of JBT Marel Corporation. 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 13.8%, drawdown -59.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -55.9%, Sharpe 0.48, 91% 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=6, exitN=72 |
11.6% | -55.9% | 0.48 | 0.21 | 7.2x | 51 | 91% |
| SMA 크로스오버 fast=22, slow=188 |
9.5% | -54.4% | 0.46 | 0.17 | 5.1x | 30 | 65% |
| EMA 크로스오버 fast=51, slow=89 |
7.9% | -49.1% | 0.41 | 0.16 | 3.9x | 36 | 65% |
| ROC 모멘텀 n=141, threshold=0.1 |
4.7% | -47.8% | 0.31 | 0.10 | 2.3x | 158 | 47% |
| Supertrend period=20, mult=5 |
4.2% | -55.2% | 0.29 | 0.08 | 2.1x | 53 | 64% |
| MACD fast=19, slow=59, signal=19 |
2.4% | -51.7% | 0.23 | 0.05 | 1.5x | 179 | 52% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
1.2% | -16.2% | 0.20 | 0.07 | 1.2x | 16 | 5% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=18, mult=2.5 |
1.8% | -35.4% | 0.19 | 0.05 | 1.4x | 76 | 41% |
| ADX / DI 방향성 period=39, threshold=15 |
-0.2% | -51.8% | 0.07 | -0.00 | 1.0x | 74 | 24% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-6.0% | -72.3% | -0.06 | -0.08 | 0.3x | 179 | 59% |
| Buy and hold | 13.8% | -59.6% | 0.51 | 0.23 | 10.2x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 72 days