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 15.7%, MDD -51.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.8%, drawdown -96.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.7%, MDD -51.2%, Sharpe 0.60, 42% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.9%, MDD -80.5%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 45.1%p (CAGR 15.7%, MDD -51.2%, 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 |
15.7% | -51.2% | 0.60 | 0.31 | 375.7x | 68 | 42% |
| SMA 크로스오버 fast=62, slow=206 |
15.9% | -80.5% | 0.55 | 0.20 | 404.2x | 53 | 61% |
| Keltner 채널 돌파 emaPeriod=93, atrPeriod=19, mult=3.3 |
12.3% | -58.0% | 0.52 | 0.21 | 112.1x | 91 | 35% |
| 볼린저 밴드 돌파 n=71, k=3 |
11.2% | -51.2% | 0.48 | 0.22 | 76.4x | 44 | 18% |
| EMA 크로스오버 fast=30, slow=75 |
11.7% | -83.3% | 0.46 | 0.14 | 89.4x | 111 | 60% |
| ADX / DI 방향성 period=28, threshold=7 |
8.9% | -95.0% | 0.42 | 0.09 | 32.1x | 428 | 66% |
| Supertrend period=27, mult=3.6 |
9.3% | -95.8% | 0.42 | 0.10 | 37.2x | 154 | 54% |
| Parabolic SAR step=0.005, maxStep=0.24 |
8.3% | -94.4% | 0.39 | 0.09 | 25.9x | 289 | 56% |
| MACD fast=23, slow=49, signal=19 |
3.3% | -83.3% | 0.32 | 0.04 | 3.7x | 396 | 51% |
| ROC 모멘텀 n=131, threshold=0.01 |
2.0% | -98.3% | 0.26 | 0.02 | 2.3x | 395 | 59% |
| Buy and hold | 18.8% | -96.4% | 0.58 | 0.20 | 1122.9x | 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