Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Metaplanet Inc. backtest
10 trend-following strategies were compared on the full daily history of Metaplanet Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -18.4%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.4%, MDD -91.3%, Sharpe 0.60, 28% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=75, exitN=52 |
20.4% | -91.3% | 0.60 | 0.22 | 56.2x | 22 | 28% |
| 볼린저 밴드 돌파 n=46, k=2.5 |
13.1% | -97.3% | 0.48 | 0.13 | 14.4x | 70 | 18% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=3.6 |
12.0% | -93.1% | 0.47 | 0.13 | 11.8x | 38 | 11% |
| SMA 크로스오버 fast=9, slow=132 |
10.8% | -94.0% | 0.47 | 0.11 | 9.2x | 46 | 30% |
| ADX / DI 방향성 period=31, threshold=14 |
9.4% | -93.1% | 0.46 | 0.10 | 7.0x | 98 | 41% |
| EMA 크로스오버 fast=13, slow=96 |
9.0% | -97.2% | 0.44 | 0.09 | 6.5x | 72 | 28% |
| ROC 모멘텀 n=32, threshold=0.11 |
9.2% | -97.4% | 0.43 | 0.09 | 6.8x | 252 | 21% |
| Supertrend period=14, mult=4.4 |
7.8% | -98.4% | 0.43 | 0.08 | 5.1x | 70 | 40% |
| Parabolic SAR step=0.025, maxStep=0.22 |
5.1% | -98.5% | 0.40 | 0.05 | 3.0x | 392 | 40% |
| MACD fast=15, slow=33, signal=15 |
-8.8% | -98.0% | 0.23 | -0.09 | 0.1x | 295 | 52% |
| Buy and hold | -18.4% | -100.0% | 0.25 | -0.18 | 0.0x | 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 75 days
- Sell — Sell when price breaks below the lowest low of the last 52 days