Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zeta Global Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of Zeta Global Holdings Corp.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 27.9%, MDD -52.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 26.9%, drawdown -70.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 35.1%, MDD -58.7%, Sharpe 0.83, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 11.3%p (CAGR 27.9%, MDD -52.7%, exposure 56%).
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=47, slow=99 |
35.1% | -58.7% | 0.83 | 0.60 | 4.8x | 11 | 60% |
| EMA 크로스오버 fast=54, slow=62 |
27.9% | -52.7% | 0.73 | 0.53 | 3.6x | 9 | 56% |
| ROC 모멘텀 n=54, threshold=0.01 |
26.0% | -70.5% | 0.70 | 0.37 | 3.3x | 51 | 59% |
| 볼린저 밴드 돌파 n=56, k=2.1 |
20.7% | -45.4% | 0.65 | 0.46 | 2.7x | 19 | 39% |
| Donchian 채널 돌파 entryN=11, exitN=78 |
23.2% | -76.8% | 0.65 | 0.30 | 3.0x | 13 | 87% |
| Supertrend period=24, mult=4.3 |
18.5% | -57.4% | 0.59 | 0.32 | 2.4x | 21 | 51% |
| MACD fast=25, slow=62, signal=28 |
13.6% | -50.6% | 0.50 | 0.27 | 1.9x | 43 | 54% |
| Parabolic SAR step=0.04, maxStep=0.12 |
12.2% | -59.1% | 0.48 | 0.21 | 1.8x | 145 | 51% |
| ADX / DI 방향성 period=34, threshold=15 |
10.2% | -61.5% | 0.45 | 0.17 | 1.7x | 17 | 31% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=29, mult=1.6 |
5.5% | -61.6% | 0.34 | 0.09 | 1.3x | 39 | 40% |
| Buy and hold | 26.9% | -70.0% | 0.69 | 0.38 | 3.5x | 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 47-day average price crosses above the 99-day average
- Sell — Sell (to cash) when the 47-day average falls below the 99-day average