Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jackson Financial Inc. backtest
10 trend-following strategies were compared on the full daily history of Jackson Financial Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 39.3%, MDD -35.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 32.0%, drawdown -49.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.3%, MDD -35.5%, Sharpe 1.09, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 39.3%, MDD -35.5%, exposure 79%).
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=17, exitN=35 |
39.3% | -35.5% | 1.09 | 1.11 | 5.4x | 15 | 79% |
| Supertrend period=11, mult=3.6 |
29.0% | -35.3% | 0.98 | 0.82 | 3.6x | 23 | 63% |
| EMA 크로스오버 fast=39, slow=175 |
28.1% | -33.3% | 0.98 | 0.84 | 3.5x | 7 | 66% |
| SMA 크로스오버 fast=58, slow=104 |
29.8% | -37.5% | 0.95 | 0.80 | 3.8x | 9 | 66% |
| ROC 모멘텀 n=75, threshold=0 |
26.7% | -29.3% | 0.89 | 0.91 | 3.3x | 51 | 66% |
| Parabolic SAR step=0.025, maxStep=0.16 |
22.0% | -39.3% | 0.85 | 0.56 | 2.7x | 109 | 57% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
14.2% | -18.6% | 0.79 | 0.76 | 2.0x | 14 | 27% |
| MACD fast=22, slow=48, signal=16 |
12.1% | -49.1% | 0.55 | 0.25 | 1.8x | 56 | 51% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=23, mult=2.2 |
8.6% | -47.7% | 0.45 | 0.18 | 1.5x | 32 | 44% |
| ADX / DI 방향성 period=9, threshold=24 |
8.0% | -27.8% | 0.44 | 0.29 | 1.5x | 78 | 40% |
| Buy and hold | 32.0% | -49.1% | 0.86 | 0.65 | 4.1x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 35 days