Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hertz Global Holdings, Inc backtest
10 trend-following strategies were compared on the full daily history of Hertz Global Holdings, Inc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.4%, MDD -29.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -42.8%, drawdown -95.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -29.0%, Sharpe 0.38, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 50.2%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR 7.4%, MDD -29.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.5 |
7.4% | -29.0% | 0.38 | 0.26 | 1.4x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=9, mult=2.1 |
4.1% | -40.6% | 0.28 | 0.10 | 1.2x | 20 | 16% |
| SMA 크로스오버 fast=32, slow=181 |
-0.3% | -48.0% | 0.22 | -0.01 | 1.0x | 10 | 27% |
| Supertrend period=34, mult=4.2 |
-1.4% | -66.5% | 0.13 | -0.02 | 0.9x | 16 | 17% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-11.1% | -86.8% | 0.06 | -0.13 | 0.5x | 88 | 45% |
| ROC 모멘텀 n=145, threshold=-0.04 |
-11.9% | -60.0% | 0.04 | -0.20 | 0.5x | 50 | 33% |
| MACD fast=13, slow=24, signal=6 |
-18.6% | -84.9% | -0.02 | -0.22 | 0.4x | 113 | 53% |
| Donchian 채널 돌파 entryN=88, exitN=68 |
-16.0% | -71.9% | -0.09 | -0.22 | 0.4x | 6 | 29% |
| EMA 크로스오버 fast=19, slow=65 |
-23.7% | -81.8% | -0.38 | -0.29 | 0.3x | 20 | 31% |
| ADX / DI 방향성 period=11, threshold=16 |
-26.8% | -88.3% | -0.45 | -0.30 | 0.2x | 100 | 35% |
| Buy and hold | -42.8% | -95.5% | -0.30 | -0.45 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average