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 12.7%, 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 12.8%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 |
25.2% | -58.0% | 0.79 | 0.44 | 402.8x | 174 | 31% |
| ROC 모멘텀 n=189, threshold=0.23 |
23.1% | -83.3% | 0.71 | 0.28 | 252.2x | 101 | 35% |
| Donchian 채널 돌파 entryN=26, exitN=9 |
21.6% | -67.1% | 0.70 | 0.32 | 182.9x | 174 | 33% |
| ADX / DI 방향성 period=16, threshold=10 |
22.6% | -74.5% | 0.67 | 0.30 | 230.0x | 456 | 52% |
| Supertrend period=7, mult=1.7 |
21.3% | -83.6% | 0.66 | 0.25 | 170.9x | 454 | 52% |
| SMA 크로스오버 fast=21, slow=196 |
21.2% | -89.0% | 0.65 | 0.24 | 167.0x | 53 | 50% |
| MACD fast=15, slow=42, signal=15 |
21.2% | -79.7% | 0.65 | 0.27 | 167.0x | 322 | 52% |
| Parabolic SAR step=0.02, maxStep=0.06 |
19.1% | -88.5% | 0.61 | 0.22 | 105.8x | 345 | 50% |
| EMA 크로스오버 fast=20, slow=108 |
16.6% | -93.7% | 0.57 | 0.18 | 59.9x | 79 | 51% |
| Buy and hold | 12.7% | -95.8% | 0.50 | 0.13 | 24.0x | 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