Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Rakuten Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rakuten Group, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.5%, MDD -42.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.2%, drawdown -96.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.7%, MDD -43.7%, Sharpe 0.40, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.1%, MDD -58.6%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 5.5%, MDD -42.4%, exposure 16%).
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=44, atrPeriod=13, mult=4 |
6.7% | -43.7% | 0.40 | 0.15 | 5.4x | 44 | 15% |
| SMA 크로스오버 fast=14, slow=131 |
8.1% | -58.6% | 0.40 | 0.14 | 7.8x | 75 | 50% |
| Donchian 채널 돌파 entryN=76, exitN=50 |
7.9% | -62.1% | 0.40 | 0.13 | 7.3x | 46 | 42% |
| EMA 크로스오버 fast=38, slow=141 |
6.5% | -71.3% | 0.35 | 0.09 | 5.2x | 46 | 48% |
| 볼린저 밴드 돌파 n=31, k=2.8 |
5.5% | -42.4% | 0.35 | 0.13 | 4.1x | 76 | 16% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.3% | -69.3% | 0.32 | 0.08 | 3.9x | 193 | 50% |
| ROC 모멘텀 n=83, threshold=-0.03 |
3.8% | -82.5% | 0.28 | 0.05 | 2.7x | 273 | 57% |
| Supertrend period=18, mult=3.7 |
3.3% | -70.2% | 0.27 | 0.05 | 2.4x | 137 | 51% |
| ADX / DI 방향성 period=33, threshold=12 |
2.7% | -57.1% | 0.24 | 0.05 | 2.0x | 208 | 36% |
| MACD fast=15, slow=51, signal=23 |
-1.2% | -84.2% | 0.15 | -0.01 | 0.7x | 283 | 51% |
| Buy and hold | 1.2% | -96.1% | 0.28 | 0.01 | 1.4x | 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 44-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average