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 20.6%, MDD -43.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.2%, drawdown -83.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.6%, MDD -43.3%, Sharpe 0.78, 41% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.3%, MDD -61.6%, exposure 62%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 40.5%p (CAGR 20.6%, MDD -43.3%, 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 |
20.6% | -43.3% | 0.78 | 0.48 | 39.9x | 107 | 41% |
| Supertrend period=34, mult=3.2 |
21.2% | -55.5% | 0.74 | 0.38 | 43.4x | 117 | 54% |
| ROC 모멘텀 n=104, threshold=-0.04 |
22.3% | -61.6% | 0.74 | 0.36 | 51.8x | 155 | 62% |
| 볼린저 밴드 돌파 n=38, k=2.1 |
17.9% | -47.0% | 0.73 | 0.38 | 25.5x | 87 | 34% |
| EMA 크로스오버 fast=8, slow=121 |
20.8% | -52.5% | 0.71 | 0.40 | 40.8x | 69 | 58% |
| ADX / DI 방향성 period=27, threshold=20 |
15.5% | -47.4% | 0.71 | 0.33 | 16.9x | 72 | 24% |
| SMA 크로스오버 fast=54, slow=100 |
20.4% | -57.6% | 0.70 | 0.35 | 38.3x | 45 | 57% |
| Donchian 채널 돌파 entryN=83, exitN=72 |
19.5% | -53.9% | 0.70 | 0.36 | 32.9x | 27 | 53% |
| MACD fast=17, slow=52, signal=17 |
15.1% | -56.8% | 0.60 | 0.27 | 15.8x | 201 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
13.4% | -55.5% | 0.55 | 0.24 | 11.8x | 159 | 53% |
| Buy and hold | 21.2% | -83.8% | 0.65 | 0.25 | 43.6x | 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