Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Zensar Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of Zensar Technologies Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.0%, MDD -54.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.8%, drawdown -96.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.0%, MDD -54.6%, Sharpe 0.71, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 20.0%, MDD -54.6%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=131 |
20.0% | -54.6% | 0.71 | 0.37 | 81.3x | 46 | 58% |
| ADX / DI 방향성 period=57, threshold=17 |
14.1% | -59.7% | 0.65 | 0.24 | 24.0x | 48 | 33% |
| EMA 크로스오버 fast=54, slow=68 |
13.1% | -88.2% | 0.58 | 0.15 | 19.5x | 44 | 59% |
| ROC 모멘텀 n=75, threshold=-0.03 |
10.8% | -93.6% | 0.52 | 0.12 | 11.9x | 224 | 63% |
| Supertrend period=25, mult=4.5 |
10.5% | -89.6% | 0.52 | 0.12 | 11.2x | 61 | 55% |
| Donchian 채널 돌파 entryN=104, exitN=56 |
7.5% | -90.7% | 0.45 | 0.08 | 5.7x | 32 | 42% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=1.4 |
5.8% | -88.1% | 0.40 | 0.07 | 3.9x | 146 | 44% |
| 볼린저 밴드 돌파 n=52, k=1 |
15.3% | -87.0% | 0.36 | 0.18 | 31.2x | 160 | 47% |
| Parabolic SAR step=0.005, maxStep=0.22 |
13.4% | -82.0% | 0.35 | 0.16 | 21.0x | 190 | 47% |
| MACD fast=18, slow=35, signal=11 |
7.1% | -89.0% | 0.29 | 0.08 | 5.3x | 314 | 49% |
| Buy and hold | 16.8% | -96.2% | 0.42 | 0.18 | 43.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 58-day average falls below the 131-day average