Trend-Following Backtester · Guide · backtest 한국어
equity · GB
InterContinental Hotels Group PLC backtest
10 trend-following strategies were compared on the full daily history of InterContinental Hotels Group PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.6%, drawdown -68.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.9%, MDD -69.3%, Sharpe 0.52, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.15 |
11.9% | -69.3% | 0.52 | 0.17 | 13.7x | 29 | 99% |
| SMA 크로스오버 fast=60, slow=219 |
8.2% | -45.1% | 0.47 | 0.18 | 6.3x | 29 | 67% |
| Donchian 채널 돌파 entryN=7, exitN=64 |
9.2% | -71.7% | 0.45 | 0.13 | 7.8x | 71 | 89% |
| MACD fast=33, slow=50, signal=31 |
7.9% | -37.4% | 0.45 | 0.21 | 5.9x | 156 | 51% |
| EMA 크로스오버 fast=34, slow=119 |
7.7% | -51.9% | 0.42 | 0.15 | 5.6x | 51 | 69% |
| ADX / DI 방향성 period=21, threshold=32 |
1.0% | -12.9% | 0.23 | 0.08 | 1.3x | 30 | 7% |
| Supertrend period=14, mult=3.6 |
2.7% | -61.8% | 0.23 | 0.04 | 1.8x | 122 | 63% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=22, mult=3.7 |
0.7% | -8.2% | 0.23 | 0.08 | 1.2x | 10 | 3% |
| 볼린저 밴드 돌파 n=23, k=2.8 |
1.1% | -34.3% | 0.16 | 0.03 | 1.3x | 58 | 12% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.4% | -64.2% | 0.09 | -0.01 | 0.9x | 210 | 56% |
| Buy and hold | 13.6% | -68.0% | 0.55 | 0.20 | 19.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -15%
- Sell — Sell when the 8-day return drops to -15% or below