Trend-Following Backtester · Guide · backtest 한국어
equity · US
ZIM Integrated Shipping Services Ltd. backtest
10 trend-following strategies were compared on the full daily history of ZIM Integrated Shipping Services Ltd.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 26.3%, MDD -45.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.7%, drawdown -92.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.3%, MDD -45.5%, Sharpe 0.75, 46% exposure.
CAGR reference leader: Parabolic SAR — CAGR 27.9%, MDD -58.8%, exposure 49%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 26.3%, MDD -45.5%, exposure 46%).
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=138, threshold=0 |
26.3% | -45.5% | 0.75 | 0.58 | 3.7x | 21 | 46% |
| Parabolic SAR step=0.035, maxStep=0.06 |
27.9% | -58.8% | 0.75 | 0.47 | 4.0x | 83 | 49% |
| ADX / DI 방향성 period=29, threshold=44 |
7.0% | -17.9% | 0.69 | 0.39 | 1.5x | 2 | 2% |
| Donchian 채널 돌파 entryN=51, exitN=82 |
20.3% | -69.0% | 0.62 | 0.29 | 2.8x | 7 | 55% |
| Supertrend period=27, mult=1.6 |
18.4% | -47.7% | 0.60 | 0.39 | 2.6x | 98 | 42% |
| SMA 크로스오버 fast=49, slow=181 |
16.2% | -57.0% | 0.56 | 0.28 | 2.3x | 5 | 42% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=20, mult=2.9 |
10.7% | -48.0% | 0.47 | 0.22 | 1.8x | 23 | 19% |
| EMA 크로스오버 fast=54, slow=62 |
9.5% | -69.3% | 0.43 | 0.14 | 1.7x | 11 | 47% |
| 볼린저 밴드 돌파 n=25, k=2.3 |
9.1% | -47.1% | 0.43 | 0.19 | 1.6x | 33 | 24% |
| MACD fast=13, slow=29, signal=16 |
4.9% | -60.4% | 0.34 | 0.08 | 1.3x | 81 | 51% |
| Buy and hold | 16.7% | -92.6% | 0.57 | 0.18 | 2.4x | 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 138-day return is greater than 0%
- Sell — Sell when the 138-day return drops to 0% or below