Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zebra Technologies Corporation backtest
10 trend-following strategies were compared on the full daily history of Zebra Technologies Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.6%, drawdown -73.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -59.6%, Sharpe 0.45, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=46, slow=149 |
9.5% | -59.6% | 0.45 | 0.16 | 23.9x | 59 | 63% |
| Donchian 채널 돌파 entryN=75, exitN=61 |
7.7% | -64.7% | 0.41 | 0.12 | 13.3x | 61 | 58% |
| EMA 크로스오버 fast=51, slow=64 |
7.5% | -69.5% | 0.40 | 0.11 | 12.7x | 77 | 63% |
| ROC 모멘텀 n=133, threshold=-0.07 |
6.3% | -67.5% | 0.35 | 0.09 | 8.5x | 259 | 71% |
| Supertrend period=24, mult=4.8 |
2.8% | -64.6% | 0.24 | 0.04 | 2.6x | 125 | 60% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
1.8% | -30.9% | 0.23 | 0.06 | 1.8x | 31 | 9% |
| MACD fast=16, slow=36, signal=14 |
2.5% | -90.5% | 0.23 | 0.03 | 2.4x | 484 | 51% |
| Parabolic SAR step=0.035, maxStep=0.04 |
0.5% | -87.1% | 0.16 | 0.01 | 1.2x | 415 | 57% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=4 |
0.9% | -35.8% | 0.13 | 0.03 | 1.4x | 69 | 15% |
| ADX / DI 방향성 period=20, threshold=36 |
-0.2% | -33.9% | -0.02 | -0.01 | 0.9x | 24 | 3% |
| Buy and hold | 13.6% | -73.4% | 0.51 | 0.18 | 86.7x | 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 46-day average price crosses above the 149-day average
- Sell — Sell (to cash) when the 46-day average falls below the 149-day average