Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MIXI Inc. backtest
10 trend-following strategies were compared on the full daily history of MIXI Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.5%, MDD -51.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR —, drawdown -447.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.7%, MDD -52.7%, Sharpe 0.71, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.5%, MDD -51.7%, exposure 26%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is —p lower than buy and hold, while drawdown improves by 395.2%p (CAGR 18.5%, MDD -51.7%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=3.9 |
17.7% | -52.7% | 0.71 | 0.34 | 26.4x | 37 | 17% |
| Donchian 채널 돌파 entryN=96, exitN=30 |
18.5% | -51.7% | 0.68 | 0.36 | 30.0x | 29 | 26% |
| 볼린저 밴드 돌파 n=38, k=3.2 |
14.4% | -51.7% | 0.63 | 0.28 | 14.8x | 25 | 9% |
| SMA 크로스오버 fast=21, slow=116 |
15.3% | -51.9% | 0.58 | 0.29 | 17.3x | 47 | 40% |
| ROC 모멘텀 n=85, threshold=0.14 |
14.3% | -51.7% | 0.57 | 0.28 | 14.6x | 103 | 21% |
| ADX / DI 방향성 period=15, threshold=33 |
11.5% | -51.7% | 0.57 | 0.22 | 8.8x | 51 | 10% |
| EMA 크로스오버 fast=20, slow=75 |
14.1% | -55.5% | 0.55 | 0.25 | 14.0x | 63 | 40% |
| Supertrend period=21, mult=3.7 |
10.9% | -74.8% | 0.47 | 0.15 | 8.0x | 105 | 42% |
| MACD fast=17, slow=57, signal=18 |
9.7% | -76.6% | 0.43 | 0.13 | 6.5x | 200 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
6.4% | -68.8% | 0.35 | 0.09 | 3.4x | 135 | 47% |
| Buy and hold | — | -447.9% | 0.23 | — | -1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 40-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 40-day average