Trend-Following Backtester · Guide · backtest 한국어

equity · US

Johnson & Johnson backtest

10 trend-following strategies were compared on the full daily history of Johnson & Johnson. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 1970-01-02 ~ 2026-07-31daily bars 14,266 (56.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.9%, drawdown -52.6%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -65.8%, Sharpe 0.42, 94% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=48, threshold=-0.11
6.8%-65.8%0.420.1040.6x23994%
EMA 크로스오버
fast=54, slow=90
5.9%-58.5%0.420.1025.5x9767%
SMA 크로스오버
fast=39, slow=174
5.6%-63.8%0.390.0921.6x9766%
Donchian 채널 돌파
entryN=39, exitN=78
5.4%-45.6%0.380.1219.4x11374%
볼린저 밴드 돌파
n=56, k=3.3
1.7%-25.8%0.300.062.6x419%
Supertrend
period=28, mult=4.9
1.4%-57.5%0.170.022.2x20761%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=24, mult=3.9
1.1%-54.2%0.160.021.8x13725%
ADX / DI 방향성
period=48, threshold=23
0.3%-17.4%0.100.021.2x203%
MACD
fast=34, slow=51, signal=31
-0.5%-77.8%0.04-0.010.8x43951%
Parabolic SAR
step=0.005, maxStep=0.34
-1.2%-75.5%0.00-0.020.5x50556%
Buy and hold9.9%-52.6%0.530.19209.3x1100%
1x 10x 100x 1971 1978 1985 1992 1999 2006 2013 2020 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -33% -49% -66% 1971 1978 1985 1992 1999 2006 2013 2020 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -65.8% (1972-11-01 → 1980-03-13), recovered after 5,215 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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