Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Zen Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of Zen Technologies Limited. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 34.5%, MDD -36.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 34.7%, drawdown -85.2%).
Sharpe leader (same as main): MACD — CAGR 39.3%, MDD -63.8%, Sharpe 1.04, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 34.5%, MDD -36.8%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=19, signal=16 |
39.3% | -63.8% | 1.04 | 0.62 | 42.9x | 164 | 48% |
| Donchian 채널 돌파 entryN=104, exitN=43 |
34.5% | -36.8% | 1.03 | 0.94 | 28.7x | 9 | 41% |
| 볼린저 밴드 돌파 n=18, k=1.3 |
35.1% | -59.0% | 1.00 | 0.60 | 30.4x | 158 | 38% |
| Parabolic SAR step=0.015, maxStep=0.36 |
33.4% | -65.3% | 0.93 | 0.51 | 26.3x | 180 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=3.7 |
26.1% | -37.5% | 0.92 | 0.70 | 13.9x | 24 | 26% |
| SMA 크로스오버 fast=14, slow=141 |
31.8% | -58.8% | 0.91 | 0.54 | 23.0x | 31 | 54% |
| Supertrend period=17, mult=2.1 |
30.7% | -65.8% | 0.88 | 0.47 | 20.8x | 110 | 48% |
| EMA 크로스오버 fast=41, slow=43 |
31.3% | -62.6% | 0.88 | 0.50 | 21.8x | 35 | 56% |
| ADX / DI 방향성 period=11, threshold=35 |
19.8% | -46.8% | 0.83 | 0.42 | 7.8x | 54 | 16% |
| ROC 모멘텀 n=125, threshold=0.06 |
25.8% | -47.4% | 0.82 | 0.54 | 13.5x | 83 | 45% |
| Buy and hold | 34.7% | -85.2% | 0.82 | 0.41 | 29.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (15/19) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line