Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hilton Food Group plc backtest
10 trend-following strategies were compared on the full daily history of Hilton Food Group plc. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -34.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.6%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -34.2%, Sharpe 0.46, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 8.5%, MDD -34.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=94, slow=233 |
8.5% | -34.2% | 0.46 | 0.25 | 4.9x | 16 | 65% |
| ROC 모멘텀 n=197, threshold=-0.09 |
6.0% | -40.2% | 0.36 | 0.15 | 3.1x | 68 | 78% |
| EMA 크로스오버 fast=59, slow=283 |
4.1% | -46.6% | 0.29 | 0.09 | 2.2x | 20 | 70% |
| Donchian 채널 돌파 entryN=56, exitN=75 |
4.0% | -55.6% | 0.28 | 0.07 | 2.1x | 33 | 72% |
| ADX / DI 방향성 period=34, threshold=33 |
0.4% | -6.1% | 0.18 | 0.07 | 1.1x | 6 | 1% |
| 볼린저 밴드 돌파 n=12, k=3.3 |
0.3% | -2.9% | 0.17 | 0.12 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.06 |
0.4% | -47.3% | 0.12 | 0.01 | 1.1x | 149 | 53% |
| Supertrend period=26, mult=4.6 |
-0.6% | -58.4% | 0.08 | -0.01 | 0.9x | 53 | 66% |
| MACD fast=23, slow=63, signal=24 |
-1.1% | -54.1% | 0.05 | -0.02 | 0.8x | 161 | 48% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=1.5 |
-3.7% | -60.5% | -0.15 | -0.06 | 0.5x | 127 | 32% |
| Buy and hold | 6.6% | -65.8% | 0.37 | 0.10 | 3.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 94-day average price crosses above the 233-day average
- Sell — Sell (to cash) when the 94-day average falls below the 233-day average