Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Manappuram Finance Limited backtest
10 trend-following strategies were compared on the full daily history of Manappuram Finance Limited. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.1%, MDD -45.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.8%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.7%, MDD -61.8%, Sharpe 0.73, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 15.1%, MDD -45.4%, exposure 61%).
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=15, exitN=43 |
22.7% | -61.8% | 0.73 | 0.37 | 27.4x | 47 | 77% |
| ADX / DI 방향성 period=22, threshold=36 |
6.5% | -15.6% | 0.68 | 0.42 | 2.8x | 14 | 3% |
| ROC 모멘텀 n=17, threshold=-0.1 |
21.0% | -60.5% | 0.68 | 0.35 | 21.7x | 171 | 85% |
| Supertrend period=15, mult=2.3 |
16.0% | -58.2% | 0.63 | 0.28 | 11.1x | 139 | 55% |
| SMA 크로스오버 fast=11, slow=174 |
15.1% | -45.4% | 0.59 | 0.33 | 9.7x | 33 | 61% |
| 볼린저 밴드 돌파 n=27, k=1.7 |
10.9% | -46.0% | 0.53 | 0.24 | 5.3x | 128 | 38% |
| EMA 크로스오버 fast=9, slow=195 |
9.9% | -61.6% | 0.46 | 0.16 | 4.6x | 41 | 61% |
| Parabolic SAR step=0.005, maxStep=0.26 |
9.9% | -68.8% | 0.45 | 0.14 | 4.6x | 134 | 58% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=10, mult=3.6 |
4.2% | -36.0% | 0.45 | 0.12 | 1.9x | 12 | 4% |
| MACD fast=14, slow=68, signal=20 |
8.0% | -59.4% | 0.41 | 0.13 | 3.5x | 164 | 51% |
| Buy and hold | 14.8% | -88.9% | 0.53 | 0.17 | 9.3x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 43 days