Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hill & Smith PLC backtest
10 trend-following strategies were compared on the full daily history of Hill & Smith PLC. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -83.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.1%, MDD -82.8%, Sharpe 0.50, 78% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.5%, MDD -83.7%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=37 |
13.1% | -82.8% | 0.50 | 0.16 | 108.5x | 179 | 78% |
| SMA 크로스오버 fast=26, slow=112 |
8.9% | -51.4% | 0.46 | 0.17 | 25.6x | 85 | 61% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
13.5% | -83.7% | 0.42 | 0.16 | 123.8x | 15 | 100% |
| Supertrend period=19, mult=5 |
8.0% | -78.5% | 0.38 | 0.10 | 19.2x | 147 | 65% |
| EMA 크로스오버 fast=8, slow=51 |
6.2% | -80.3% | 0.38 | 0.08 | 9.9x | 193 | 62% |
| ADX / DI 방향성 period=26, threshold=23 |
5.0% | -54.2% | 0.34 | 0.09 | 6.4x | 127 | 31% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=2.4 |
3.3% | -80.3% | 0.28 | 0.04 | 3.5x | 147 | 45% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
3.1% | -80.3% | 0.28 | 0.04 | 3.2x | 194 | 48% |
| MACD fast=18, slow=55, signal=19 |
6.1% | -80.0% | 0.27 | 0.08 | 9.7x | 364 | 48% |
| Parabolic SAR step=0.015, maxStep=0.36 |
3.7% | -79.1% | 0.27 | 0.05 | 4.1x | 526 | 54% |
| Buy and hold | 13.7% | -83.5% | 0.42 | 0.16 | 133.9x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 37 days