Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Zegona Communications Plc backtest
10 trend-following strategies were compared on the full daily history of Zegona Communications Plc. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 26.2%, MDD -21.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 23.6%, drawdown -82.7%).
Sharpe leader (same as main): Supertrend — CAGR 28.5%, MDD -26.0%, Sharpe 1.21, 51% exposure.
CAGR reference leader: MACD — CAGR 29.2%, MDD -42.0%, exposure 45%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 56.7%p (CAGR 26.2%, MDD -21.1%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.7 |
28.5% | -26.0% | 1.21 | 1.10 | 17.6x | 44 | 51% |
| EMA 크로스오버 fast=9, slow=43 |
25.9% | -21.1% | 1.13 | 1.23 | 14.0x | 41 | 50% |
| SMA 크로스오버 fast=17, slow=49 |
26.2% | -21.1% | 1.12 | 1.24 | 14.4x | 45 | 47% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=2.4 |
24.3% | -21.1% | 1.12 | 1.15 | 12.1x | 26 | 40% |
| 볼린저 밴드 돌파 n=54, k=2.2 |
22.4% | -22.9% | 1.08 | 0.98 | 10.1x | 24 | 33% |
| Donchian 채널 돌파 entryN=52, exitN=38 |
24.6% | -27.3% | 1.08 | 0.90 | 12.4x | 24 | 49% |
| ROC 모멘텀 n=134, threshold=0.09 |
24.2% | -28.1% | 1.04 | 0.86 | 11.9x | 24 | 37% |
| Parabolic SAR step=0.02, maxStep=0.34 |
20.1% | -28.3% | 0.99 | 0.71 | 8.2x | 175 | 44% |
| ADX / DI 방향성 period=25, threshold=25 |
11.5% | -21.1% | 0.70 | 0.54 | 3.5x | 46 | 28% |
| MACD fast=19, slow=57, signal=19 |
29.2% | -42.0% | 0.43 | 0.69 | 18.7x | 91 | 45% |
| Buy and hold | 23.6% | -82.7% | 0.40 | 0.29 | 11.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)