Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Zee Entertainment Enterprises Limited backtest
10 trend-following strategies were compared on the full daily history of Zee Entertainment Enterprises Limited. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -55.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.6%, drawdown -88.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -55.4%, Sharpe 0.39, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 7.9%, MDD -55.4%, exposure 55%).
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=15, slow=107 |
7.9% | -55.4% | 0.39 | 0.14 | 6.2x | 75 | 55% |
| Donchian 채널 돌파 entryN=71, exitN=61 |
6.4% | -67.6% | 0.35 | 0.09 | 4.4x | 35 | 52% |
| SMA 크로스오버 fast=27, slow=149 |
6.3% | -77.0% | 0.35 | 0.08 | 4.3x | 41 | 55% |
| ROC 모멘텀 n=95, threshold=-0.01 |
4.8% | -58.0% | 0.30 | 0.08 | 3.1x | 237 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.7% | -59.7% | 0.24 | 0.05 | 1.9x | 195 | 48% |
| Supertrend period=19, mult=3.6 |
2.4% | -80.1% | 0.23 | 0.03 | 1.8x | 97 | 54% |
| 볼린저 밴드 돌파 n=66, k=2.7 |
1.7% | -52.7% | 0.19 | 0.03 | 1.5x | 51 | 23% |
| ADX / DI 방향성 period=23, threshold=15 |
1.2% | -63.6% | 0.18 | 0.02 | 1.3x | 231 | 36% |
| MACD fast=11, slow=22, signal=18 |
-2.0% | -84.8% | 0.11 | -0.02 | 0.6x | 371 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=2.8 |
-0.3% | -48.6% | 0.11 | -0.01 | 0.9x | 68 | 24% |
| Buy and hold | 4.6% | -88.9% | 0.33 | 0.05 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 15-day EMA crosses above the 107-day EMA
- Sell — Sell when the 15-day EMA falls below the 107-day EMA