Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jefferies Financial Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Jefferies Financial Group Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.9%, MDD -54.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -80.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -55.4%, Sharpe 0.66, 39% exposure.
CAGR reference leader: Supertrend — CAGR 12.8%, MDD -63.7%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.7%p lower than buy and hold, while drawdown improves by 25.3%p (CAGR 11.9%, MDD -54.7%, exposure 58%).
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=119, exitN=38 |
11.1% | -55.4% | 0.66 | 0.20 | 130.5x | 84 | 39% |
| EMA 크로스오버 fast=39, slow=232 |
12.2% | -62.9% | 0.61 | 0.19 | 211.2x | 59 | 66% |
| SMA 크로스오버 fast=7, slow=59 |
11.9% | -54.7% | 0.61 | 0.22 | 187.0x | 281 | 58% |
| Supertrend period=9, mult=5 |
12.8% | -63.7% | 0.60 | 0.20 | 262.2x | 168 | 59% |
| ADX / DI 방향성 period=30, threshold=20 |
8.0% | -34.6% | 0.59 | 0.23 | 35.2x | 156 | 26% |
| 볼린저 밴드 돌파 n=46, k=1.6 |
10.2% | -68.1% | 0.58 | 0.15 | 90.6x | 252 | 44% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=2.5 |
9.6% | -63.9% | 0.57 | 0.15 | 70.1x | 222 | 41% |
| ROC 모멘텀 n=133, threshold=0.09 |
8.5% | -55.7% | 0.50 | 0.15 | 44.0x | 336 | 48% |
| Parabolic SAR step=0.01, maxStep=0.12 |
8.8% | -57.6% | 0.47 | 0.15 | 48.9x | 551 | 54% |
| MACD fast=22, slow=50, signal=24 |
6.8% | -78.5% | 0.40 | 0.09 | 21.5x | 398 | 52% |
| Buy and hold | 15.8% | -80.7% | 0.59 | 0.20 | 897.4x | 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 119 days
- Sell — Sell when price breaks below the lowest low of the last 38 days