Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ZOZO, Inc. backtest
10 trend-following strategies were compared on the full daily history of ZOZO, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.9%, MDD -40.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.9%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.2%, MDD -42.0%, Sharpe 0.77, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 21.9%, MDD -40.6%, exposure 63%).
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=22, slow=275 |
22.2% | -42.0% | 0.77 | 0.53 | 42.0x | 20 | 61% |
| EMA 크로스오버 fast=22, slow=264 |
21.9% | -40.6% | 0.76 | 0.54 | 39.9x | 20 | 63% |
| Supertrend period=13, mult=5 |
19.3% | -48.7% | 0.68 | 0.40 | 27.0x | 53 | 55% |
| ROC 모멘텀 n=117, threshold=0.01 |
18.5% | -51.0% | 0.68 | 0.36 | 23.7x | 149 | 58% |
| Donchian 채널 돌파 entryN=78, exitN=84 |
16.6% | -45.9% | 0.64 | 0.36 | 17.5x | 23 | 56% |
| 볼린저 밴드 돌파 n=61, k=1.9 |
13.3% | -41.3% | 0.60 | 0.32 | 10.2x | 63 | 38% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=17, mult=1.8 |
12.7% | -56.4% | 0.55 | 0.23 | 9.3x | 91 | 46% |
| ADX / DI 방향성 period=36, threshold=14 |
11.1% | -47.4% | 0.54 | 0.23 | 7.1x | 92 | 33% |
| MACD fast=18, slow=43, signal=29 |
6.2% | -63.9% | 0.35 | 0.10 | 3.1x | 179 | 49% |
| Parabolic SAR step=0.015, maxStep=0.24 |
0.3% | -83.5% | 0.18 | 0.00 | 1.1x | 319 | 53% |
| Buy and hold | 19.9% | -74.9% | 0.62 | 0.27 | 29.5x | 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 22-day average price crosses above the 275-day average
- Sell — Sell (to cash) when the 22-day average falls below the 275-day average