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 6.4%, MDD -22.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.8%, drawdown -93.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 35.4%, MDD -40.7%, Sharpe 0.95, 66% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 32.7%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 6.4%, 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 |
35.4% | -40.7% | 0.95 | 0.87 | 11.8x | 23 | 66% |
| SMA 크로스오버 fast=42, slow=168 |
34.6% | -43.1% | 0.95 | 0.80 | 11.3x | 9 | 54% |
| EMA 크로스오버 fast=73, slow=95 |
31.0% | -40.7% | 0.90 | 0.76 | 9.0x | 7 | 54% |
| Donchian 채널 돌파 entryN=105, exitN=53 |
18.7% | -57.9% | 0.69 | 0.32 | 4.0x | 11 | 37% |
| ADX / DI 방향성 period=17, threshold=29 |
12.7% | -27.6% | 0.67 | 0.46 | 2.6x | 16 | 13% |
| Supertrend period=27, mult=5 |
15.5% | -63.3% | 0.57 | 0.25 | 3.2x | 23 | 54% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=23, mult=4 |
8.4% | -46.3% | 0.46 | 0.18 | 1.9x | 18 | 19% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
6.4% | -22.9% | 0.43 | 0.28 | 1.7x | 10 | 8% |
| Parabolic SAR step=0.015, maxStep=0.1 |
5.4% | -56.6% | 0.33 | 0.09 | 1.5x | 117 | 51% |
| MACD fast=10, slow=23, signal=12 |
0.1% | -79.6% | 0.21 | 0.00 | 1.0x | 139 | 51% |
| Buy and hold | 2.8% | -93.6% | 0.32 | 0.03 | 1.2x | 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