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.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -52.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -65.8%, Sharpe 0.43, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=48, threshold=-0.11 |
6.8% | -65.8% | 0.43 | 0.10 | 42.1x | 239 | 94% |
| EMA 크로스오버 fast=54, slow=90 |
6.0% | -58.5% | 0.42 | 0.10 | 26.5x | 97 | 67% |
| SMA 크로스오버 fast=39, slow=174 |
5.6% | -63.8% | 0.40 | 0.09 | 22.4x | 97 | 66% |
| Donchian 채널 돌파 entryN=39, exitN=78 |
5.4% | -45.6% | 0.38 | 0.12 | 20.1x | 113 | 74% |
| 볼린저 밴드 돌파 n=56, k=3.3 |
1.7% | -25.8% | 0.31 | 0.07 | 2.6x | 41 | 9% |
| Supertrend period=28, mult=4.9 |
1.5% | -57.5% | 0.17 | 0.03 | 2.3x | 207 | 61% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=3.9 |
1.1% | -54.2% | 0.16 | 0.02 | 1.9x | 137 | 25% |
| ADX / DI 방향성 period=48, threshold=23 |
0.3% | -17.4% | 0.10 | 0.02 | 1.2x | 20 | 3% |
| MACD fast=34, slow=51, signal=31 |
-0.4% | -77.8% | 0.05 | -0.01 | 0.8x | 439 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.1% | -75.5% | 0.01 | -0.02 | 0.5x | 505 | 56% |
| Buy and hold | 10.0% | -52.6% | 0.53 | 0.19 | 217.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 48-day return is greater than -11%
- Sell — Sell when the 48-day return drops to -11% or below