Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Zalando SE backtest
10 trend-following strategies were compared on the full daily history of Zalando SE. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -9.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.1%, drawdown -84.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.1%, MDD -34.6%, Sharpe 0.47, 21% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.1%, MDD -47.3%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 2.2%, MDD -9.7%, exposure 2%).
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=47, threshold=15 |
7.1% | -34.6% | 0.47 | 0.21 | 2.3x | 18 | 21% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
2.2% | -9.7% | 0.42 | 0.22 | 1.3x | 4 | 2% |
| ROC 모멘텀 n=130, threshold=-0.03 |
8.1% | -47.3% | 0.42 | 0.17 | 2.5x | 69 | 60% |
| SMA 크로스오버 fast=12, slow=184 |
6.7% | -45.4% | 0.38 | 0.15 | 2.2x | 26 | 56% |
| EMA 크로스오버 fast=18, slow=119 |
6.7% | -50.2% | 0.38 | 0.13 | 2.2x | 30 | 56% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=28, mult=2.9 |
5.2% | -32.2% | 0.37 | 0.16 | 1.8x | 46 | 22% |
| Donchian 채널 돌파 entryN=52, exitN=69 |
6.5% | -39.9% | 0.37 | 0.16 | 2.1x | 19 | 57% |
| MACD fast=15, slow=52, signal=18 |
4.8% | -61.4% | 0.30 | 0.08 | 1.7x | 132 | 50% |
| Supertrend period=25, mult=3.5 |
2.9% | -61.3% | 0.24 | 0.05 | 1.4x | 72 | 48% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.5% | -54.8% | 0.16 | 0.01 | 1.1x | 158 | 50% |
| Buy and hold | 1.1% | -84.4% | 0.24 | 0.01 | 1.1x | 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, 47-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)