Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jones Lang LaSalle Incorporated backtest
10 trend-following strategies were compared on the full daily history of Jones Lang LaSalle Incorporated. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.2%, MDD -50.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.0%, drawdown -86.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.7%, MDD -54.8%, Sharpe 0.67, 58% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 10.2%, MDD -50.9%, exposure 48%).
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=62, exitN=61 |
14.7% | -54.8% | 0.67 | 0.27 | 53.1x | 45 | 58% |
| SMA 크로스오버 fast=26, slow=94 |
14.1% | -53.3% | 0.64 | 0.27 | 46.6x | 75 | 60% |
| EMA 크로스오버 fast=17, slow=135 |
12.4% | -66.8% | 0.59 | 0.19 | 30.1x | 63 | 61% |
| ADX / DI 방향성 period=69, threshold=4 |
11.7% | -56.4% | 0.58 | 0.21 | 25.1x | 179 | 57% |
| ROC 모멘텀 n=129, threshold=0.11 |
10.2% | -50.9% | 0.55 | 0.20 | 16.7x | 232 | 48% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=16, mult=1.4 |
8.7% | -64.0% | 0.47 | 0.14 | 11.3x | 165 | 53% |
| Supertrend period=13, mult=4.4 |
9.4% | -73.6% | 0.47 | 0.13 | 13.7x | 113 | 63% |
| 볼린저 밴드 돌파 n=41, k=2.1 |
4.2% | -55.7% | 0.31 | 0.08 | 3.3x | 145 | 38% |
| MACD fast=16, slow=28, signal=22 |
3.2% | -83.9% | 0.25 | 0.04 | 2.5x | 331 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
2.9% | -74.2% | 0.24 | 0.04 | 2.3x | 243 | 57% |
| Buy and hold | 9.0% | -86.2% | 0.41 | 0.10 | 12.3x | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 61 days