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 15.8%, MDD -45.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.5%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.5%, MDD -61.8%, Sharpe 0.75, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 15.8%, 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 |
23.5% | -61.8% | 0.75 | 0.38 | 29.9x | 47 | 77% |
| ROC 모멘텀 n=17, threshold=-0.1 |
21.8% | -60.5% | 0.70 | 0.36 | 23.8x | 171 | 85% |
| ADX / DI 방향성 period=22, threshold=36 |
6.5% | -15.6% | 0.69 | 0.42 | 2.8x | 14 | 3% |
| Supertrend period=15, mult=2.3 |
17.2% | -58.2% | 0.66 | 0.30 | 12.9x | 137 | 55% |
| SMA 크로스오버 fast=11, slow=174 |
15.8% | -45.4% | 0.61 | 0.35 | 10.6x | 33 | 61% |
| 볼린저 밴드 돌파 n=27, k=1.7 |
11.4% | -46.0% | 0.54 | 0.25 | 5.7x | 127 | 38% |
| EMA 크로스오버 fast=9, slow=195 |
10.5% | -61.6% | 0.47 | 0.17 | 5.0x | 41 | 61% |
| Parabolic SAR step=0.005, maxStep=0.26 |
10.4% | -68.8% | 0.47 | 0.15 | 4.9x | 133 | 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 |
8.5% | -59.4% | 0.42 | 0.14 | 3.7x | 163 | 51% |
| Buy and hold | 15.5% | -88.9% | 0.55 | 0.17 | 10.1x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 43 days