Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Micronics Japan Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Micronics Japan Co., Ltd.. 10 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 25.5%, MDD -51.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.9%, drawdown -95.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 25.5%, MDD -51.6%, Sharpe 0.79, 33% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 25.5%, MDD -51.6%, exposure 33%).
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=21, atrPeriod=27, mult=1.6 |
25.5% | -51.6% | 0.79 | 0.49 | 421.9x | 222 | 33% |
| 볼린저 밴드 돌파 n=26, k=2.1 |
25.3% | -58.0% | 0.79 | 0.44 | 402.8x | 174 | 31% |
| ROC 모멘텀 n=189, threshold=0.23 |
23.4% | -83.3% | 0.71 | 0.28 | 266.7x | 101 | 35% |
| Donchian 채널 돌파 entryN=26, exitN=9 |
21.7% | -67.1% | 0.70 | 0.32 | 182.9x | 174 | 33% |
| ADX / DI 방향성 period=16, threshold=10 |
23.2% | -74.5% | 0.68 | 0.31 | 256.5x | 454 | 53% |
| Supertrend period=7, mult=1.7 |
21.7% | -83.6% | 0.67 | 0.26 | 183.9x | 452 | 52% |
| MACD fast=15, slow=42, signal=15 |
21.6% | -79.7% | 0.66 | 0.27 | 179.3x | 320 | 52% |
| SMA 크로스오버 fast=21, slow=196 |
21.5% | -89.0% | 0.66 | 0.24 | 176.6x | 53 | 50% |
| Parabolic SAR step=0.02, maxStep=0.06 |
20.2% | -88.5% | 0.63 | 0.23 | 131.8x | 344 | 50% |
| EMA 크로스오버 fast=20, slow=108 |
16.9% | -93.7% | 0.57 | 0.18 | 63.4x | 79 | 51% |
| Buy and hold | 12.9% | -95.8% | 0.51 | 0.14 | 25.4x | 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 21-day average + 1.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average