Trend-Following Backtester · Guide · backtest 한국어
equity · GB
PPHE Hotel Group Limited backtest
10 trend-following strategies were compared on the full daily history of PPHE Hotel Group Limited. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.8%, MDD -45.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 23.9%, drawdown -96.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.2%, MDD -64.7%, Sharpe 0.56, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 35.3%, MDD -63.6%, exposure 86%.
Return/drawdown alternative: Supertrend — CAGR is 12.7%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 28.8%, MDD -45.7%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=91, threshold=0 |
11.2% | -64.7% | 0.56 | 0.17 | 11.7x | 124 | 54% |
| SMA 크로스오버 fast=53, slow=102 |
10.7% | -55.1% | 0.54 | 0.19 | 10.6x | 42 | 52% |
| EMA 크로스오버 fast=12, slow=179 |
9.1% | -47.0% | 0.52 | 0.19 | 7.5x | 30 | 58% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
8.3% | -43.6% | 0.48 | 0.19 | 6.3x | 80 | 36% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=2.1 |
7.8% | -47.5% | 0.46 | 0.16 | 5.7x | 86 | 38% |
| ADX / DI 방향성 period=39, threshold=12 |
4.7% | -54.1% | 0.32 | 0.09 | 2.9x | 128 | 39% |
| MACD fast=9, slow=20, signal=16 |
3.6% | -82.2% | 0.24 | 0.04 | 2.3x | 345 | 40% |
| Donchian 채널 돌파 entryN=31, exitN=88 |
35.3% | -63.6% | 0.23 | 0.55 | 1100.8x | 15 | 86% |
| Supertrend period=8, mult=4.3 |
28.8% | -45.7% | 0.22 | 0.63 | 353.3x | 84 | 65% |
| Parabolic SAR step=0.015, maxStep=0.38 |
27.6% | -69.4% | 0.22 | 0.40 | 285.9x | 251 | 63% |
| Buy and hold | 23.9% | -96.6% | 0.22 | 0.25 | 144.2x | 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 91-day return is greater than 0%
- Sell — Sell when the 91-day return drops to 0% or below