Trend-Following Backtester · Guide · backtest 한국어

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MonotaRO Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of MonotaRO Co., Ltd.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.6%, MDD -43.3%).

Data 2006-12-06 ~ 2026-07-31daily bars 4,826 (19.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 21.2%, drawdown -83.8%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.6%, MDD -43.3%, Sharpe 0.78, 41% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 22.3%, MDD -61.6%, exposure 62%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 40.5%p (CAGR 20.6%, MDD -43.3%, exposure 41%).

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
Keltner 채널 돌파
emaPeriod=41, atrPeriod=29, mult=1.9
20.6%-43.3%0.780.4839.9x10741%
Supertrend
period=34, mult=3.2
21.2%-55.5%0.740.3843.4x11754%
ROC 모멘텀
n=104, threshold=-0.04
22.3%-61.6%0.740.3651.8x15562%
볼린저 밴드 돌파
n=38, k=2.1
17.9%-47.0%0.730.3825.5x8734%
EMA 크로스오버
fast=8, slow=121
20.8%-52.5%0.710.4040.8x6958%
ADX / DI 방향성
period=27, threshold=20
15.5%-47.4%0.710.3316.9x7224%
SMA 크로스오버
fast=54, slow=100
20.4%-57.6%0.700.3538.3x4557%
Donchian 채널 돌파
entryN=83, exitN=72
19.5%-53.9%0.700.3632.9x2753%
MACD
fast=17, slow=52, signal=17
15.1%-56.8%0.600.2715.8x20151%
Parabolic SAR
step=0.005, maxStep=0.38
13.4%-55.5%0.550.2411.8x15953%
Buy and hold21.2%-83.8%0.650.2543.6x1100%
1x 10x 2007 2010 2013 2016 2019 2022 2025 ROC 모멘텀Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -21% -42% -63% -84% 2007 2010 2013 2016 2019 2022 2025 Buy and holdROC 모멘텀Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -43.3% (2020-11-09 → 2024-03-13), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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