Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hilton Food Group plc backtest
10 trend-following strategies were compared on the full daily history of Hilton Food Group plc. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -34.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.9%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -34.2%, Sharpe 0.47, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 8.6%, MDD -34.2%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=94, slow=233 |
8.6% | -34.2% | 0.47 | 0.25 | 5.1x | 17 | 65% |
| ROC 모멘텀 n=197, threshold=-0.09 |
6.1% | -40.2% | 0.36 | 0.15 | 3.2x | 71 | 78% |
| Donchian 채널 돌파 entryN=56, exitN=75 |
4.3% | -55.6% | 0.29 | 0.08 | 2.3x | 33 | 72% |
| EMA 크로스오버 fast=59, slow=283 |
4.1% | -46.6% | 0.29 | 0.09 | 2.2x | 20 | 69% |
| ADX / DI 방향성 period=34, threshold=33 |
0.4% | -6.1% | 0.18 | 0.07 | 1.1x | 6 | 1% |
| 볼린저 밴드 돌파 n=12, k=3.3 |
0.3% | -2.9% | 0.17 | 0.12 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.06 |
0.7% | -47.3% | 0.14 | 0.01 | 1.1x | 149 | 53% |
| Supertrend period=26, mult=4.6 |
-0.3% | -58.4% | 0.10 | -0.01 | 0.9x | 53 | 67% |
| MACD fast=23, slow=63, signal=24 |
-0.8% | -54.1% | 0.07 | -0.02 | 0.9x | 161 | 49% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=1.5 |
-3.4% | -60.5% | -0.13 | -0.06 | 0.5x | 127 | 32% |
| Buy and hold | 6.9% | -65.8% | 0.37 | 0.11 | 3.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 94-day average price crosses above the 233-day average
- Sell — Sell (to cash) when the 94-day average falls below the 233-day average