Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Zurich Insurance Group Ltd backtest
10 trend-following strategies were compared on the full daily history of Zurich Insurance Group Ltd. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -9.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.0%, drawdown -91.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -9.0%, Sharpe 0.28, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -39.3%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 82.8%p (CAGR 0.6%, MDD -9.0%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=42 |
0.6% | -9.0% | 0.28 | 0.06 | 1.2x | 2 | 0% |
| SMA 크로스오버 fast=39, slow=195 |
3.2% | -39.3% | 0.28 | 0.08 | 2.4x | 41 | 56% |
| Donchian 채널 돌파 entryN=106, exitN=85 |
2.6% | -38.7% | 0.25 | 0.07 | 2.1x | 29 | 53% |
| EMA 크로스오버 fast=44, slow=97 |
1.4% | -49.6% | 0.17 | 0.03 | 1.5x | 55 | 57% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
0.4% | -12.5% | 0.13 | 0.03 | 1.1x | 6 | 3% |
| ROC 모멘텀 n=124, threshold=-0.02 |
-0.1% | -60.2% | 0.08 | -0.00 | 1.0x | 221 | 63% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.4% | -62.4% | 0.08 | -0.01 | 0.9x | 237 | 54% |
| Supertrend period=8, mult=4.1 |
-0.4% | -61.6% | 0.06 | -0.01 | 0.9x | 143 | 53% |
| MACD fast=23, slow=24, signal=18 |
-2.2% | -67.7% | -0.01 | -0.03 | 0.5x | 356 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=3.9 |
-1.4% | -49.9% | -0.10 | -0.03 | 0.7x | 81 | 24% |
| Buy and hold | -0.0% | -91.8% | 0.16 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)