Trend-Following Backtester · Guide · backtest 한국어
equity · US
ManpowerGroup backtest
10 trend-following strategies were compared on the full daily history of ManpowerGroup. 1 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 4.8%, MDD -41.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.8%, drawdown -81.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -41.7%, Sharpe 0.37, 31% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 4.8%, MDD -41.7%, exposure 31%).
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=109, exitN=30 |
4.8% | -41.7% | 0.37 | 0.12 | 5.9x | 75 | 31% |
| 볼린저 밴드 돌파 n=55, k=2.2 |
2.8% | -48.2% | 0.24 | 0.06 | 2.9x | 127 | 32% |
| SMA 크로스오버 fast=31, slow=63 |
1.9% | -68.5% | 0.20 | 0.03 | 2.0x | 163 | 54% |
| Supertrend period=18, mult=4 |
1.9% | -68.9% | 0.20 | 0.03 | 2.0x | 177 | 54% |
| EMA 크로스오버 fast=25, slow=157 |
1.4% | -75.6% | 0.17 | 0.02 | 1.7x | 79 | 52% |
| ROC 모멘텀 n=142, threshold=0.08 |
1.0% | -73.5% | 0.15 | 0.01 | 1.5x | 275 | 40% |
| ADX / DI 방향성 period=23, threshold=32 |
0.6% | -27.5% | 0.14 | 0.02 | 1.3x | 41 | 5% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=2 |
0.3% | -66.2% | 0.11 | 0.00 | 1.1x | 209 | 38% |
| MACD fast=9, slow=42, signal=16 |
-1.1% | -78.9% | 0.08 | -0.01 | 0.7x | 572 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.7% | -84.1% | 0.01 | -0.03 | 0.4x | 321 | 53% |
| Buy and hold | 3.8% | -81.1% | 0.29 | 0.05 | 4.1x | 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 109 days
- Sell — Sell when price breaks below the lowest low of the last 30 days