Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hollywood Bowl Group Plc backtest
10 trend-following strategies were compared on the full daily history of Hollywood Bowl Group Plc. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.3%, drawdown -77.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.5%, MDD -54.1%, Sharpe 0.38, 98% 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 98% n=5, threshold=-0.1 |
7.5% | -54.1% | 0.38 | 0.14 | 2.0x | 35 | 98% |
| Donchian 채널 돌파 entryN=14, exitN=69 |
0.1% | -63.2% | 0.16 | 0.00 | 1.0x | 25 | 83% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
1.0% | -15.9% | 0.16 | 0.06 | 1.1x | 10 | 3% |
| MACD fast=22, slow=29, signal=24 |
0.4% | -48.0% | 0.15 | 0.01 | 1.0x | 102 | 47% |
| SMA 크로스오버 fast=31, slow=44 |
0.1% | -33.0% | 0.13 | 0.00 | 1.0x | 68 | 55% |
| Supertrend period=17, mult=2.5 |
-0.8% | -50.5% | 0.10 | -0.02 | 0.9x | 56 | 51% |
| EMA 크로스오버 fast=8, slow=207 |
-2.1% | -42.6% | 0.04 | -0.05 | 0.8x | 35 | 62% |
| ADX / DI 방향성 period=33, threshold=14 |
-1.8% | -29.3% | 0.01 | -0.06 | 0.8x | 52 | 37% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-5.7% | -53.6% | -0.06 | -0.11 | 0.6x | 260 | 49% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=11, mult=3 |
-0.7% | -11.6% | -0.12 | -0.06 | 0.9x | 4 | 2% |
| Buy and hold | 5.3% | -77.3% | 0.34 | 0.07 | 1.7x | 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 5-day return is greater than -10%
- Sell — Sell when the 5-day return drops to -10% or below