Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Man Group PLC backtest
10 trend-following strategies were compared on the full daily history of Man Group PLC. 3 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 9.0%, MDD -45.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.2%, drawdown -91.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -45.8%, Sharpe 0.51, 52% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.2%, MDD -57.8%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 9.0%, MDD -45.8%, exposure 52%).
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=90, exitN=68 |
9.0% | -45.8% | 0.51 | 0.20 | 15.7x | 47 | 52% |
| SMA 크로스오버 fast=45, slow=209 |
9.2% | -57.8% | 0.51 | 0.16 | 16.6x | 37 | 55% |
| 볼린저 밴드 돌파 n=64, k=2.9 |
6.0% | -33.6% | 0.49 | 0.18 | 6.3x | 52 | 23% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=3.8 |
5.7% | -47.2% | 0.45 | 0.12 | 5.8x | 76 | 27% |
| EMA 크로스오버 fast=31, slow=125 |
7.2% | -53.1% | 0.43 | 0.14 | 9.1x | 65 | 55% |
| ADX / DI 방향성 period=31, threshold=12 |
6.6% | -56.8% | 0.41 | 0.12 | 7.6x | 269 | 46% |
| Supertrend period=18, mult=4.9 |
5.8% | -70.2% | 0.36 | 0.08 | 6.0x | 121 | 55% |
| ROC 모멘텀 n=120, threshold=0.01 |
5.1% | -70.5% | 0.33 | 0.07 | 4.8x | 259 | 56% |
| MACD fast=13, slow=16, signal=8 |
0.9% | -87.8% | 0.16 | 0.01 | 1.3x | 683 | 50% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-1.5% | -91.1% | 0.06 | -0.02 | 0.6x | 547 | 53% |
| Buy and hold | 7.2% | -91.1% | 0.37 | 0.08 | 9.1x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 68 days