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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -24.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.7%, drawdown -50.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.4%, MDD -28.3%, Sharpe 0.74, 78% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.3%, MDD -35.8%, exposure 86%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 22.6%p (CAGR 14.0%, MDD -24.4%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=78 |
14.4% | -28.3% | 0.74 | 0.51 | 5.5x | 21 | 78% |
| Donchian 채널 돌파 entryN=19, exitN=57 |
15.3% | -35.8% | 0.73 | 0.43 | 6.1x | 25 | 86% |
| SMA 크로스오버 fast=17, slow=144 |
14.0% | -24.4% | 0.73 | 0.57 | 5.3x | 23 | 75% |
| ROC 모멘텀 n=126, threshold=-0.01 |
11.5% | -29.6% | 0.62 | 0.39 | 4.0x | 67 | 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% | 0.39 | 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 |
4.4% | -58.1% | 0.32 | 0.08 | 1.7x | 42 | 67% |
| Parabolic SAR step=0.01, maxStep=0.44 |
1.7% | -42.1% | 0.18 | 0.04 | 1.2x | 183 | 57% |
| MACD fast=18, slow=59, signal=17 |
1.6% | -46.8% | 0.18 | 0.03 | 1.2x | 149 | 49% |
| Buy and hold | 16.7% | -50.9% | 0.69 | 0.33 | 7.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 78-day EMA
- Sell — Sell when the 49-day EMA falls below the 78-day EMA