Trend-Following Backtester · Guide · backtest 한국어
equity · JP
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 20.2%, MDD -45.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.8%, drawdown -83.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.2%, MDD -45.5%, Sharpe 0.77, 41% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.0%, MDD -61.6%, exposure 62%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 38.3%p (CAGR 20.2%, MDD -45.5%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=29, mult=1.9 |
20.2% | -45.5% | 0.77 | 0.44 | 37.7x | 108 | 41% |
| Supertrend period=34, mult=3.2 |
20.6% | -55.5% | 0.73 | 0.37 | 40.2x | 118 | 54% |
| ROC 모멘텀 n=104, threshold=-0.04 |
22.0% | -61.6% | 0.73 | 0.36 | 50.3x | 161 | 62% |
| 볼린저 밴드 돌파 n=38, k=2.1 |
17.5% | -50.2% | 0.71 | 0.35 | 24.0x | 88 | 34% |
| ADX / DI 방향성 period=27, threshold=20 |
15.4% | -47.4% | 0.71 | 0.33 | 16.9x | 72 | 24% |
| EMA 크로스오버 fast=8, slow=121 |
20.4% | -52.5% | 0.70 | 0.39 | 39.0x | 70 | 58% |
| SMA 크로스오버 fast=54, slow=100 |
20.1% | -57.6% | 0.70 | 0.35 | 36.9x | 45 | 57% |
| Donchian 채널 돌파 entryN=83, exitN=72 |
19.1% | -53.9% | 0.69 | 0.36 | 31.6x | 27 | 54% |
| MACD fast=17, slow=52, signal=17 |
14.7% | -56.8% | 0.59 | 0.26 | 14.9x | 202 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
12.9% | -55.5% | 0.53 | 0.23 | 11.0x | 160 | 53% |
| Buy and hold | 20.8% | -83.8% | 0.64 | 0.25 | 41.9x | 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 41-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 41-day average