Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MTG Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of MTG Co., Ltd.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -22.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.4%, drawdown -93.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 32.7%, MDD -40.7%, Sharpe 0.90, 66% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 32.3%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 6.5%, MDD -22.9%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=151, threshold=-0.11 |
32.7% | -40.7% | 0.90 | 0.80 | 9.8x | 23 | 66% |
| SMA 크로스오버 fast=42, slow=168 |
31.9% | -43.1% | 0.90 | 0.74 | 9.3x | 9 | 53% |
| EMA 크로스오버 fast=73, slow=95 |
28.3% | -40.7% | 0.84 | 0.69 | 7.4x | 7 | 53% |
| ADX / DI 방향성 period=17, threshold=29 |
12.8% | -27.6% | 0.68 | 0.47 | 2.6x | 16 | 13% |
| Donchian 채널 돌파 entryN=105, exitN=53 |
16.1% | -57.9% | 0.63 | 0.28 | 3.3x | 11 | 36% |
| Supertrend period=27, mult=5 |
13.0% | -63.3% | 0.51 | 0.20 | 2.7x | 23 | 54% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=23, mult=4 |
8.5% | -46.3% | 0.47 | 0.18 | 1.9x | 18 | 19% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
6.5% | -22.9% | 0.43 | 0.28 | 1.7x | 10 | 8% |
| Parabolic SAR step=0.015, maxStep=0.1 |
3.9% | -56.6% | 0.30 | 0.07 | 1.4x | 116 | 51% |
| MACD fast=10, slow=23, signal=12 |
-1.3% | -79.6% | 0.18 | -0.02 | 0.9x | 138 | 51% |
| Buy and hold | 0.4% | -93.6% | 0.28 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 151-day return is greater than -11%
- Sell — Sell when the 151-day return drops to -11% or below