Trend-Following Backtester · Guide · backtest 한국어
equity · US
MannKind Corporation backtest
10 trend-following strategies were compared on the full daily history of MannKind Corporation. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.9%, MDD -75.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.2%, drawdown -99.4%).
Sharpe leader (same as main): MACD — CAGR 6.0%, MDD -87.2%, Sharpe 0.40, 51% exposure.
CAGR reference leader: Parabolic SAR — CAGR 6.2%, MDD -94.1%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.2%p higher than buy and hold, while drawdown improves by 12.2%p (CAGR 2.9%, MDD -75.6%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=6, slow=55, signal=13 |
6.0% | -87.2% | 0.40 | 0.07 | 3.7x | 384 | 51% |
| Parabolic SAR step=0.035, maxStep=0.34 |
6.2% | -94.1% | 0.37 | 0.07 | 3.8x | 592 | 48% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=14, mult=0.7 |
2.9% | -75.6% | 0.29 | 0.04 | 1.9x | 326 | 35% |
| ADX / DI 방향성 period=9, threshold=35 |
3.8% | -83.0% | 0.28 | 0.05 | 2.3x | 184 | 18% |
| 볼린저 밴드 돌파 n=21, k=1.6 |
1.3% | -76.7% | 0.25 | 0.02 | 1.3x | 242 | 32% |
| Supertrend period=13, mult=1.8 |
-0.5% | -89.2% | 0.25 | -0.01 | 0.9x | 283 | 42% |
| Donchian 채널 돌파 entryN=138, exitN=32 |
2.2% | -80.4% | 0.23 | 0.03 | 1.6x | 20 | 17% |
| ROC 모멘텀 n=140, threshold=0.11 |
0.6% | -81.3% | 0.23 | 0.01 | 1.1x | 146 | 32% |
| EMA 크로스오버 fast=58, slow=120 |
-4.3% | -89.8% | 0.13 | -0.05 | 0.4x | 39 | 37% |
| SMA 크로스오버 fast=19, slow=202 |
-4.3% | -88.9% | 0.13 | -0.05 | 0.4x | 48 | 37% |
| Buy and hold | -12.2% | -99.4% | 0.23 | -0.12 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (6/55) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line