Trend-Following Backtester · Guide · backtest 한국어
equity · US
Manitowoc Company, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Manitowoc Company, Inc. (The). 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.1%, MDD -39.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.4%, drawdown -95.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.4%, MDD -81.8%, Sharpe 0.54, 62% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 13.5%p (CAGR 9.1%, MDD -39.2%, exposure 27%).
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=64, exitN=81 |
13.4% | -81.8% | 0.54 | 0.16 | 96.2x | 49 | 62% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=4 |
9.1% | -39.2% | 0.51 | 0.23 | 23.6x | 85 | 27% |
| SMA 크로스오버 fast=23, slow=218 |
11.9% | -67.8% | 0.51 | 0.18 | 60.4x | 49 | 58% |
| EMA 크로스오버 fast=58, slow=88 |
11.4% | -59.3% | 0.50 | 0.19 | 50.5x | 65 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
9.7% | -64.6% | 0.47 | 0.15 | 29.0x | 197 | 44% |
| Supertrend period=11, mult=4.2 |
9.0% | -71.0% | 0.43 | 0.13 | 22.9x | 163 | 54% |
| ADX / DI 방향성 period=23, threshold=23 |
5.6% | -46.1% | 0.39 | 0.12 | 7.3x | 147 | 20% |
| ROC 모멘텀 n=129, threshold=0.03 |
6.8% | -69.2% | 0.37 | 0.10 | 11.0x | 293 | 54% |
| MACD fast=15, slow=39, signal=24 |
1.3% | -89.0% | 0.21 | 0.01 | 1.6x | 409 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.4% | -84.3% | 0.18 | 0.00 | 1.2x | 313 | 51% |
| Buy and hold | 7.4% | -95.3% | 0.39 | 0.08 | 13.4x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 81 days