Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hollywood Bowl Group Plc backtest
10 trend-following strategies were compared on the full daily history of Hollywood Bowl Group Plc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.9%, drawdown -77.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -12.7%, Sharpe 0.26, 1% exposure.
CAGR reference leader: MACD — CAGR 1.8%, MDD -38.7%, exposure 50%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=31 |
0.8% | -12.7% | 0.26 | 0.06 | 1.1x | 2 | 1% |
| MACD fast=30, slow=74, signal=54 |
1.8% | -38.7% | 0.20 | 0.05 | 1.2x | 48 | 50% |
| SMA 크로스오버 fast=29, slow=45 |
1.0% | -38.1% | 0.17 | 0.03 | 1.1x | 66 | 55% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
0.9% | -16.3% | 0.14 | 0.05 | 1.1x | 8 | 3% |
| Donchian 채널 돌파 entryN=12, exitN=59 |
-1.5% | -56.4% | 0.11 | -0.03 | 0.9x | 32 | 83% |
| ROC 모멘텀 n=102, threshold=0.13 |
0.5% | -31.8% | 0.11 | 0.01 | 1.0x | 84 | 23% |
| Supertrend period=37, mult=2.4 |
-0.6% | -48.8% | 0.11 | -0.01 | 0.9x | 60 | 52% |
| EMA 크로스오버 fast=7, slow=214 |
-2.5% | -47.2% | 0.02 | -0.05 | 0.8x | 34 | 62% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=3.7 |
-0.2% | -6.0% | -0.02 | -0.03 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-5.8% | -53.6% | -0.07 | -0.11 | 0.5x | 265 | 49% |
| Buy and hold | 3.9% | -77.3% | 0.31 | 0.05 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)