Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hyatt Hotels Corporation backtest
10 trend-following strategies were compared on the full daily history of Hyatt Hotels Corporation. 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 11.5%, drawdown -60.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -54.1%, Sharpe 0.45, 82% exposure.
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=24, exitN=102 |
8.9% | -54.1% | 0.45 | 0.16 | 4.1x | 29 | 82% |
| ADX / DI 방향성 period=28, threshold=33 |
1.5% | -6.6% | 0.38 | 0.23 | 1.3x | 8 | 2% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
1.4% | -10.3% | 0.38 | 0.14 | 1.3x | 8 | 4% |
| EMA 크로스오버 fast=46, slow=56 |
5.3% | -35.0% | 0.34 | 0.15 | 2.4x | 47 | 66% |
| SMA 크로스오버 fast=56, slow=164 |
4.6% | -62.2% | 0.31 | 0.07 | 2.1x | 27 | 65% |
| ROC 모멘텀 n=84, threshold=-0.04 |
1.7% | -47.0% | 0.19 | 0.04 | 1.3x | 181 | 73% |
| Supertrend period=28, mult=5 |
0.8% | -48.3% | 0.15 | 0.02 | 1.1x | 55 | 61% |
| MACD fast=17, slow=32, signal=22 |
-0.4% | -52.4% | 0.09 | -0.01 | 0.9x | 204 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.0% | -63.1% | -0.02 | -0.05 | 0.6x | 242 | 55% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=14, mult=3.7 |
-1.4% | -36.8% | -0.09 | -0.04 | 0.8x | 40 | 16% |
| Buy and hold | 11.5% | -60.6% | 0.50 | 0.19 | 6.2x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 102 days