Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hilton Worldwide Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Hilton Worldwide Holdings Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.2%, MDD -24.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.0%, drawdown -50.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -35.8%, Sharpe 0.77, 86% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 15.1%p (CAGR 14.2%, MDD -24.4%, exposure 74%).
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=19, exitN=57 |
16.3% | -35.8% | 0.77 | 0.45 | 6.7x | 23 | 86% |
| EMA 크로스오버 fast=49, slow=78 |
14.6% | -28.3% | 0.75 | 0.52 | 5.6x | 21 | 77% |
| SMA 크로스오버 fast=17, slow=144 |
14.2% | -24.4% | 0.74 | 0.58 | 5.3x | 23 | 74% |
| ROC 모멘텀 n=126, threshold=-0.01 |
12.1% | -29.6% | 0.65 | 0.41 | 4.2x | 63 | 75% |
| ADX / DI 방향성 period=19, threshold=40 |
1.7% | -11.2% | 0.52 | 0.15 | 1.2x | 6 | 4% |
| 볼린저 밴드 돌파 n=50, k=2.8 |
3.6% | -22.5% | 0.40 | 0.16 | 1.6x | 30 | 25% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=9, mult=3.8 |
1.3% | -10.7% | 0.38 | 0.12 | 1.2x | 8 | 5% |
| Supertrend period=20, mult=4.8 |
4.7% | -58.1% | 0.33 | 0.08 | 1.8x | 41 | 68% |
| MACD fast=18, slow=59, signal=17 |
2.1% | -46.8% | 0.21 | 0.05 | 1.3x | 148 | 49% |
| Parabolic SAR step=0.01, maxStep=0.44 |
1.9% | -42.1% | 0.19 | 0.04 | 1.3x | 182 | 57% |
| Buy and hold | 17.0% | -50.9% | 0.70 | 0.33 | 7.2x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 57 days