Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ziff Davis, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ziff Davis, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -32.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.2%, drawdown -97.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.0%, MDD -67.8%, Sharpe 0.58, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 6.0%, MDD -32.5%, exposure 7%).
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=54, slow=94 |
16.0% | -67.8% | 0.58 | 0.24 | 55.5x | 77 | 60% |
| EMA 크로스오버 fast=52, slow=218 |
12.6% | -59.5% | 0.53 | 0.21 | 25.2x | 29 | 58% |
| Donchian 채널 돌파 entryN=73, exitN=94 |
10.6% | -73.3% | 0.47 | 0.15 | 15.5x | 35 | 64% |
| Keltner 채널 돌파 emaPeriod=80, atrPeriod=32, mult=2.9 |
8.8% | -60.8% | 0.44 | 0.15 | 9.9x | 83 | 34% |
| ROC 모멘텀 n=188, threshold=0.13 |
9.1% | -72.9% | 0.43 | 0.13 | 10.7x | 173 | 43% |
| ADX / DI 방향성 period=35, threshold=25 |
6.0% | -32.5% | 0.43 | 0.18 | 4.9x | 17 | 7% |
| Supertrend period=8, mult=5 |
2.5% | -79.8% | 0.25 | 0.03 | 1.9x | 85 | 55% |
| 볼린저 밴드 돌파 n=57, k=2 |
1.9% | -66.9% | 0.21 | 0.03 | 1.7x | 119 | 36% |
| MACD fast=17, slow=41, signal=19 |
-1.9% | -87.5% | 0.15 | -0.02 | 0.6x | 314 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.3% | -90.4% | 0.13 | -0.03 | 0.5x | 365 | 53% |
| Buy and hold | 7.2% | -97.1% | 0.40 | 0.07 | 6.6x | 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 54-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 54-day average falls below the 94-day average