Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hilton Grand Vacations Inc. backtest
10 trend-following strategies were compared on the full daily history of Hilton Grand Vacations Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -47.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -77.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -47.9%, Sharpe 0.33, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 29.8%p (CAGR 5.2%, MDD -47.9%, exposure 53%).
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=33, slow=59 |
5.2% | -47.9% | 0.33 | 0.11 | 1.6x | 45 | 53% |
| Supertrend period=28, mult=4.9 |
4.5% | -44.5% | 0.30 | 0.10 | 1.5x | 27 | 58% |
| Donchian 채널 돌파 entryN=45, exitN=46 |
4.1% | -45.3% | 0.29 | 0.09 | 1.5x | 22 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=4 |
2.4% | -29.8% | 0.23 | 0.08 | 1.3x | 18 | 22% |
| ADX / DI 방향성 period=27, threshold=14 |
1.9% | -45.3% | 0.20 | 0.04 | 1.2x | 70 | 34% |
| ROC 모멘텀 n=72, threshold=0.11 |
2.0% | -39.3% | 0.20 | 0.05 | 1.2x | 112 | 30% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
1.0% | -19.7% | 0.14 | 0.05 | 1.1x | 14 | 16% |
| EMA 크로스오버 fast=52, slow=62 |
0.1% | -49.4% | 0.13 | 0.00 | 1.0x | 27 | 60% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-1.6% | -45.9% | 0.08 | -0.03 | 0.9x | 128 | 51% |
| MACD fast=16, slow=28, signal=17 |
-2.7% | -57.8% | 0.03 | -0.05 | 0.8x | 130 | 46% |
| Buy and hold | 6.2% | -77.7% | 0.36 | 0.08 | 1.8x | 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 33-day average price crosses above the 59-day average
- Sell — Sell (to cash) when the 33-day average falls below the 59-day average