Trend-Following Backtester · Guide · backtest 한국어
equity · US
Manchester backtest
10 trend-following strategies were compared on the full daily history of Manchester. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -59.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -10.9%, Sharpe 0.35, 1% 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=3 |
2.6% | -10.9% | 0.35 | 0.23 | 1.4x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=37, mult=2.8 |
1.2% | -8.3% | 0.26 | 0.14 | 1.2x | 8 | 1% |
| Donchian 채널 돌파 entryN=6, exitN=55 |
1.6% | -64.6% | 0.21 | 0.02 | 1.2x | 63 | 79% |
| SMA 크로스오버 fast=47, slow=178 |
-0.5% | -58.8% | 0.12 | -0.01 | 0.9x | 23 | 49% |
| MACD fast=12, slow=48, signal=16 |
-0.8% | -58.0% | 0.10 | -0.01 | 0.9x | 187 | 48% |
| Supertrend period=27, mult=3.6 |
-0.7% | -54.9% | 0.10 | -0.01 | 0.9x | 63 | 48% |
| ADX / DI 방향성 period=37, threshold=28 |
-0.3% | -25.1% | 0.01 | -0.01 | 1.0x | 8 | 3% |
| ROC 모멘텀 n=37, threshold=-0.04 |
-5.0% | -78.3% | -0.03 | -0.06 | 0.5x | 235 | 67% |
| EMA 크로스오버 fast=43, slow=99 |
-5.2% | -74.8% | -0.07 | -0.07 | 0.5x | 37 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-7.0% | -81.5% | -0.15 | -0.09 | 0.4x | 229 | 51% |
| Buy and hold | 3.6% | -59.9% | 0.28 | 0.06 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (3× volatility)
- Sell — Sell when the close falls back to the 11-day middle average