Trend-Following Backtester · Guide · backtest 한국어
equity · US
Manhattan Associates, Inc. backtest
10 trend-following strategies were compared on the full daily history of Manhattan Associates, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.0%, drawdown -87.0%).
Sharpe leader (same as main): Supertrend — CAGR 13.7%, MDD -75.7%, Sharpe 0.53, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=3.8 |
13.7% | -75.7% | 0.53 | 0.18 | 38.3x | 129 | 53% |
| SMA 크로스오버 fast=19, slow=79 |
13.2% | -80.2% | 0.51 | 0.16 | 33.7x | 105 | 57% |
| 볼린저 밴드 돌파 n=47, k=1.2 |
12.7% | -82.2% | 0.51 | 0.15 | 29.8x | 187 | 45% |
| Parabolic SAR step=0.005, maxStep=0.08 |
13.0% | -78.4% | 0.51 | 0.17 | 32.0x | 231 | 53% |
| EMA 크로스오버 fast=30, slow=76 |
12.3% | -85.8% | 0.49 | 0.14 | 26.7x | 81 | 59% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=1.6 |
11.0% | -70.0% | 0.48 | 0.16 | 19.2x | 163 | 44% |
| Donchian 채널 돌파 entryN=56, exitN=27 |
11.1% | -84.1% | 0.47 | 0.13 | 19.8x | 81 | 45% |
| ROC 모멘텀 n=145, threshold=0.05 |
9.7% | -65.5% | 0.43 | 0.15 | 13.8x | 189 | 54% |
| ADX / DI 방향성 period=36, threshold=13 |
8.6% | -57.7% | 0.42 | 0.15 | 10.3x | 195 | 35% |
| MACD fast=17, slow=37, signal=25 |
8.7% | -86.1% | 0.41 | 0.10 | 10.8x | 291 | 52% |
| Buy and hold | 14.0% | -87.0% | 0.51 | 0.16 | 40.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)