Trend-Following Backtester · Guide · backtest 한국어
equity · US
Modine Manufacturing Company backtest
10 trend-following strategies were compared on the full daily history of Modine Manufacturing Company. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.2%, MDD -77.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.5%, drawdown -97.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.9%, MDD -83.0%, Sharpe 0.53, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 12.2%, MDD -77.4%, exposure 74%).
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=43, slow=102 |
12.9% | -83.0% | 0.53 | 0.16 | 202.9x | 79 | 59% |
| Donchian 채널 돌파 entryN=24, exitN=75 |
12.2% | -77.4% | 0.49 | 0.16 | 158.2x | 106 | 74% |
| Supertrend period=24, mult=4.9 |
10.9% | -80.3% | 0.48 | 0.14 | 93.6x | 136 | 57% |
| SMA 크로스오버 fast=52, slow=138 |
10.8% | -85.7% | 0.47 | 0.13 | 88.7x | 77 | 60% |
| ADX / DI 방향성 period=45, threshold=21 |
5.3% | -40.6% | 0.41 | 0.13 | 9.7x | 78 | 20% |
| ROC 모멘텀 n=114, threshold=0 |
6.9% | -94.0% | 0.37 | 0.07 | 18.7x | 398 | 59% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.3% | -84.4% | 0.30 | 0.05 | 6.4x | 342 | 54% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=1.4 |
3.2% | -87.9% | 0.26 | 0.04 | 4.0x | 342 | 43% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
2.5% | -55.4% | 0.24 | 0.05 | 3.0x | 50 | 12% |
| MACD fast=11, slow=51, signal=15 |
0.9% | -95.1% | 0.20 | 0.01 | 1.5x | 640 | 50% |
| Buy and hold | 11.5% | -97.9% | 0.47 | 0.12 | 117.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 102-day EMA
- Sell — Sell when the 43-day EMA falls below the 102-day EMA