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 20.1%, 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 23.1%, MDD -33.8%, Sharpe 0.81, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 56.4%p (CAGR 20.1%, 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 |
23.1% | -33.8% | 0.81 | 0.68 | 4.6x | 18 | 14% |
| 볼린저 밴드 돌파 n=56, k=3.2 |
20.1% | -30.1% | 0.76 | 0.67 | 3.8x | 6 | 15% |
| ADX / DI 방향성 period=26, threshold=22 |
20.8% | -34.6% | 0.75 | 0.60 | 4.0x | 16 | 16% |
| Donchian 채널 돌파 entryN=97, exitN=50 |
18.5% | -53.4% | 0.65 | 0.35 | 3.5x | 7 | 30% |
| EMA 크로스오버 fast=22, slow=147 |
17.1% | -58.4% | 0.60 | 0.29 | 3.2x | 13 | 41% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=3.9 |
14.9% | -38.6% | 0.60 | 0.39 | 2.8x | 12 | 18% |
| SMA 크로스오버 fast=24, slow=209 |
15.1% | -61.1% | 0.55 | 0.25 | 2.8x | 15 | 40% |
| Supertrend period=13, mult=1.9 |
4.9% | -63.8% | 0.31 | 0.08 | 1.4x | 94 | 40% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-0.8% | -63.9% | 0.17 | -0.01 | 0.9x | 142 | 48% |
| MACD fast=10, slow=44, signal=23 |
-2.8% | -78.2% | 0.12 | -0.04 | 0.8x | 92 | 49% |
| Buy and hold | 6.1% | -90.3% | 0.38 | 0.07 | 1.6x | 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