Trend-Following Backtester · Guide · backtest 한국어
equity · US
JP Morgan Chase & Co. backtest
10 trend-following strategies were compared on the full daily history of JP Morgan Chase & Co.. 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 9.6%, drawdown -81.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -82.8%, Sharpe 0.36, 73% 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=28, exitN=59 |
6.1% | -82.8% | 0.36 | 0.07 | 15.6x | 127 | 73% |
| ROC 모멘텀 n=44, threshold=-0.09 |
5.1% | -82.3% | 0.32 | 0.06 | 9.9x | 427 | 85% |
| SMA 크로스오버 fast=42, slow=209 |
4.5% | -72.1% | 0.31 | 0.06 | 7.7x | 75 | 62% |
| Supertrend period=13, mult=4.5 |
4.2% | -82.2% | 0.29 | 0.05 | 6.7x | 189 | 57% |
| EMA 크로스오버 fast=21, slow=117 |
3.8% | -71.2% | 0.28 | 0.05 | 5.5x | 139 | 63% |
| 볼린저 밴드 돌파 n=72, k=3.5 |
1.9% | -32.9% | 0.27 | 0.06 | 2.4x | 22 | 8% |
| MACD fast=20, slow=58, signal=24 |
1.3% | -70.2% | 0.17 | 0.02 | 1.8x | 429 | 51% |
| ADX / DI 방향성 period=27, threshold=19 |
1.1% | -52.1% | 0.15 | 0.02 | 1.6x | 180 | 19% |
| Parabolic SAR step=0.015, maxStep=0.08 |
0.3% | -85.5% | 0.13 | 0.00 | 1.2x | 725 | 56% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=3 |
0.8% | -53.3% | 0.13 | 0.01 | 1.4x | 187 | 33% |
| Buy and hold | 9.6% | -81.7% | 0.44 | 0.12 | 69.5x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 59 days