Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zoom Communications, Inc. backtest
10 trend-following strategies were compared on the full daily history of Zoom Communications, Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.3%, MDD -30.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.1%, drawdown -90.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.4%, MDD -33.8%, Sharpe 0.81, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 56.4%p (CAGR 20.3%, MDD -30.1%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=74, threshold=0.27 |
23.4% | -33.8% | 0.81 | 0.69 | 4.6x | 18 | 14% |
| 볼린저 밴드 돌파 n=56, k=3.2 |
20.3% | -30.1% | 0.76 | 0.67 | 3.8x | 6 | 15% |
| ADX / DI 방향성 period=26, threshold=22 |
21.1% | -34.6% | 0.76 | 0.61 | 4.0x | 16 | 16% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=3.9 |
17.8% | -30.1% | 0.68 | 0.59 | 3.3x | 10 | 18% |
| Donchian 채널 돌파 entryN=97, exitN=50 |
18.7% | -53.4% | 0.66 | 0.35 | 3.5x | 7 | 29% |
| EMA 크로스오버 fast=22, slow=147 |
17.2% | -58.4% | 0.60 | 0.29 | 3.2x | 13 | 41% |
| SMA 크로스오버 fast=24, slow=209 |
15.2% | -61.1% | 0.56 | 0.25 | 2.8x | 15 | 39% |
| Supertrend period=13, mult=1.9 |
5.4% | -63.8% | 0.32 | 0.08 | 1.5x | 93 | 40% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-1.9% | -63.9% | 0.14 | -0.03 | 0.9x | 141 | 48% |
| MACD fast=10, slow=44, signal=23 |
-2.4% | -78.2% | 0.12 | -0.03 | 0.8x | 91 | 49% |
| Buy and hold | 6.1% | -90.3% | 0.38 | 0.07 | 1.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 74-day return is greater than 27%
- Sell — Sell when the 74-day return drops to 27% or below