Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hostelworld Group Plc backtest
10 trend-following strategies were compared on the full daily history of Hostelworld Group Plc. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.1%, MDD -29.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.7%, drawdown -91.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 13.8%, MDD -54.8%, Sharpe 0.57, 48% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 5.1%, MDD -29.8%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.3 |
13.8% | -54.8% | 0.57 | 0.25 | 4.0x | 175 | 48% |
| MACD fast=19, slow=49, signal=18 |
11.2% | -44.9% | 0.49 | 0.25 | 3.1x | 90 | 49% |
| Supertrend period=11, mult=1.7 |
10.2% | -47.2% | 0.48 | 0.22 | 2.9x | 92 | 45% |
| ROC 모멘텀 n=7, threshold=0.09 |
5.1% | -29.8% | 0.39 | 0.17 | 1.7x | 126 | 9% |
| 볼린저 밴드 돌파 n=16, k=1.1 |
6.2% | -66.1% | 0.36 | 0.09 | 1.9x | 168 | 37% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=0.7 |
5.6% | -63.1% | 0.35 | 0.09 | 1.8x | 140 | 33% |
| Donchian 채널 돌파 entryN=14, exitN=89 |
5.3% | -53.8% | 0.32 | 0.10 | 1.7x | 25 | 75% |
| ADX / DI 방향성 period=21, threshold=15 |
4.6% | -45.4% | 0.30 | 0.10 | 1.6x | 109 | 43% |
| SMA 크로스오버 fast=57, slow=263 |
3.0% | -55.0% | 0.24 | 0.05 | 1.4x | 10 | 43% |
| EMA 크로스오버 fast=20, slow=186 |
2.9% | -42.5% | 0.24 | 0.07 | 1.4x | 18 | 44% |
| Buy and hold | -5.7% | -91.4% | 0.11 | -0.06 | 0.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots