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. 8 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
8 of 10 beat buy and hold (CAGR 2.3%, drawdown -84.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.2%, MDD -34.6%, Sharpe 0.47, 21% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.4%, MDD -47.3%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%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 |
7.2% | -34.6% | 0.47 | 0.21 | 2.3x | 18 | 21% |
| ROC 모멘텀 n=130, threshold=-0.03 |
9.4% | -47.3% | 0.46 | 0.20 | 2.9x | 69 | 60% |
| EMA 크로스오버 fast=18, slow=119 |
8.7% | -49.3% | 0.45 | 0.18 | 2.7x | 29 | 56% |
| SMA 크로스오버 fast=12, slow=184 |
8.6% | -45.4% | 0.45 | 0.19 | 2.7x | 25 | 56% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=28, mult=2.9 |
6.3% | -32.2% | 0.43 | 0.20 | 2.1x | 45 | 22% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
2.2% | -9.7% | 0.42 | 0.22 | 1.3x | 4 | 2% |
| Donchian 채널 돌파 entryN=52, exitN=69 |
7.8% | -36.4% | 0.41 | 0.21 | 2.4x | 19 | 56% |
| MACD fast=15, slow=52, signal=18 |
5.9% | -61.4% | 0.33 | 0.10 | 2.0x | 131 | 51% |
| Supertrend period=25, mult=3.5 |
3.9% | -61.3% | 0.27 | 0.06 | 1.6x | 71 | 49% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.5% | -54.8% | 0.20 | 0.03 | 1.2x | 157 | 50% |
| Buy and hold | 2.3% | -84.4% | 0.26 | 0.03 | 1.3x | 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)