Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Manulife Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Manulife Financial Corporation. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -36.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -79.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.3%, MDD -36.2%, Sharpe 0.55, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 8.3%, MDD -36.2%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=213 |
8.3% | -36.2% | 0.55 | 0.23 | 8.5x | 21 | 64% |
| SMA 크로스오버 fast=18, slow=160 |
6.7% | -34.1% | 0.45 | 0.20 | 5.7x | 61 | 61% |
| 볼린저 밴드 돌파 n=55, k=3.1 |
3.2% | -30.7% | 0.38 | 0.10 | 2.3x | 32 | 14% |
| ADX / DI 방향성 period=35, threshold=21 |
3.1% | -22.5% | 0.36 | 0.14 | 2.3x | 44 | 16% |
| Donchian 채널 돌파 entryN=52, exitN=77 |
5.1% | -50.2% | 0.36 | 0.10 | 3.9x | 49 | 67% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=16, mult=2.4 |
4.0% | -45.8% | 0.35 | 0.09 | 2.9x | 114 | 35% |
| Supertrend period=14, mult=4.7 |
4.7% | -40.8% | 0.35 | 0.12 | 3.5x | 89 | 56% |
| ROC 모멘텀 n=153, threshold=-0.04 |
4.7% | -70.7% | 0.34 | 0.07 | 3.5x | 179 | 70% |
| MACD fast=22, slow=69, signal=40 |
1.4% | -81.1% | 0.17 | 0.02 | 1.5x | 194 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.0% | -78.0% | 0.05 | -0.01 | 0.8x | 232 | 56% |
| Buy and hold | 7.3% | -79.2% | 0.39 | 0.09 | 6.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 213-day EMA
- Sell — Sell when the 39-day EMA falls below the 213-day EMA