Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Zip Co Ltd. backtest
10 trend-following strategies were compared on the full daily history of Zip Co Ltd.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 24.2%, MDD -57.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.5%, drawdown -98.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.2%, MDD -57.9%, Sharpe 0.67, 48% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 22.8%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 24.2%, MDD -57.9%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=261 |
24.2% | -57.9% | 0.67 | 0.42 | 37.0x | 21 | 48% |
| Parabolic SAR step=0.005, maxStep=0.18 |
22.2% | -96.8% | 0.60 | 0.23 | 28.2x | 106 | 46% |
| MACD fast=15, slow=51, signal=19 |
15.8% | -89.4% | 0.54 | 0.18 | 11.5x | 154 | 52% |
| Donchian 채널 돌파 entryN=157, exitN=53 |
14.2% | -81.1% | 0.51 | 0.17 | 9.1x | 16 | 38% |
| ADX / DI 방향성 period=25, threshold=15 |
14.3% | -87.9% | 0.49 | 0.16 | 9.2x | 138 | 42% |
| ROC 모멘텀 n=128, threshold=-0.04 |
9.4% | -95.7% | 0.44 | 0.10 | 4.4x | 112 | 53% |
| Supertrend period=12, mult=3.3 |
7.2% | -98.5% | 0.43 | 0.07 | 3.2x | 138 | 46% |
| 볼린저 밴드 돌파 n=30, k=2.2 |
8.0% | -93.6% | 0.41 | 0.09 | 3.6x | 104 | 32% |
| SMA 크로스오버 fast=10, slow=25 |
4.4% | -98.4% | 0.40 | 0.04 | 2.1x | 184 | 48% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=1.1 |
-0.9% | -99.2% | 0.30 | -0.01 | 0.9x | 148 | 40% |
| Buy and hold | 1.5% | -98.2% | 0.50 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 261-day EMA
- Sell — Sell when the 13-day EMA falls below the 261-day EMA