Trend-Following Backtester · Guide · backtest 한국어
equity · US
Monster Beverage Corporation backtest
10 trend-following strategies were compared on the full daily history of Monster Beverage Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -57.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.0%, drawdown -96.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.9%, MDD -57.2%, Sharpe 0.55, 42% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.1%, MDD -80.5%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 39.1%p (CAGR 13.9%, MDD -57.2%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=95, exitN=37 |
13.9% | -57.2% | 0.55 | 0.24 | 198.5x | 68 | 42% |
| SMA 크로스오버 fast=62, slow=206 |
14.1% | -80.5% | 0.51 | 0.17 | 212.0x | 53 | 61% |
| 볼린저 밴드 돌파 n=71, k=3 |
11.3% | -51.2% | 0.48 | 0.22 | 76.4x | 44 | 18% |
| Keltner 채널 돌파 emaPeriod=93, atrPeriod=19, mult=3.3 |
10.5% | -70.6% | 0.47 | 0.15 | 58.0x | 92 | 35% |
| EMA 크로스오버 fast=30, slow=75 |
9.9% | -83.3% | 0.43 | 0.12 | 46.9x | 111 | 60% |
| ADX / DI 방향성 period=28, threshold=7 |
6.9% | -91.9% | 0.40 | 0.07 | 15.0x | 413 | 66% |
| Supertrend period=27, mult=3.6 |
5.8% | -95.8% | 0.35 | 0.06 | 10.1x | 155 | 54% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.9% | -94.4% | 0.34 | 0.05 | 6.9x | 289 | 56% |
| MACD fast=23, slow=49, signal=19 |
1.5% | -83.3% | 0.30 | 0.02 | 1.8x | 398 | 51% |
| ROC 모멘텀 n=131, threshold=0.01 |
-1.3% | -98.3% | 0.20 | -0.01 | 0.6x | 397 | 59% |
| Buy and hold | 17.0% | -96.4% | 0.57 | 0.18 | 589.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 95 days
- Sell — Sell when price breaks below the lowest low of the last 37 days