Trend-Following Backtester · Guide · backtest 한국어
equity · US
Park Hotels & Resorts Inc. backtest
10 trend-following strategies were compared on the full daily history of Park Hotels & Resorts Inc.. 9 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 3.5%, MDD -14.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.8%, drawdown -85.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.5%, MDD -14.8%, Sharpe 0.41, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.2%, MDD -37.7%, exposure 38%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 70.7%p (CAGR 3.5%, MDD -14.8%, exposure 7%).
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=34, k=3.3 |
3.5% | -14.8% | 0.41 | 0.24 | 1.4x | 8 | 7% |
| ROC 모멘텀 n=141, threshold=0.23 |
5.9% | -26.6% | 0.39 | 0.22 | 1.7x | 25 | 14% |
| SMA 크로스오버 fast=75, slow=169 |
6.2% | -37.7% | 0.37 | 0.16 | 1.8x | 19 | 38% |
| Donchian 채널 돌파 entryN=104, exitN=23 |
1.6% | -35.8% | 0.18 | 0.04 | 1.2x | 19 | 21% |
| ADX / DI 방향성 period=36, threshold=14 |
1.2% | -28.9% | 0.15 | 0.04 | 1.1x | 39 | 17% |
| Supertrend period=15, mult=4 |
0.5% | -58.1% | 0.15 | 0.01 | 1.1x | 37 | 53% |
| MACD fast=16, slow=43, signal=12 |
-2.1% | -71.0% | 0.08 | -0.03 | 0.8x | 137 | 49% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=8, mult=2.5 |
-0.6% | -37.6% | 0.04 | -0.02 | 0.9x | 35 | 19% |
| EMA 크로스오버 fast=21, slow=62 |
-3.1% | -73.8% | -0.00 | -0.04 | 0.7x | 45 | 45% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-13.1% | -84.6% | -0.32 | -0.16 | 0.3x | 247 | 48% |
| Buy and hold | -6.8% | -85.5% | 0.08 | -0.08 | 0.5x | 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 34-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 34-day middle average