Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Zip Co Ltd. backtest
10 trend-following strategies were compared on the full daily history of Zip Co Ltd.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 23.2%, MDD -57.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.3%, drawdown -98.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.2%, MDD -57.9%, Sharpe 0.65, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 21.9%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 23.2%, MDD -57.9%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=261 |
23.2% | -57.9% | 0.65 | 0.40 | 33.0x | 24 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
20.6% | -96.8% | 0.58 | 0.21 | 23.0x | 107 | 46% |
| MACD fast=15, slow=51, signal=19 |
15.7% | -89.4% | 0.53 | 0.18 | 11.5x | 154 | 52% |
| Donchian 채널 돌파 entryN=157, exitN=53 |
14.1% | -81.1% | 0.51 | 0.17 | 9.1x | 16 | 38% |
| ADX / DI 방향성 period=25, threshold=15 |
13.9% | -87.9% | 0.49 | 0.16 | 8.9x | 142 | 42% |
| ROC 모멘텀 n=128, threshold=-0.04 |
9.1% | -95.7% | 0.43 | 0.10 | 4.3x | 113 | 53% |
| Supertrend period=12, mult=3.3 |
6.1% | -98.5% | 0.41 | 0.06 | 2.7x | 139 | 47% |
| 볼린저 밴드 돌파 n=30, k=2.2 |
8.0% | -93.6% | 0.41 | 0.09 | 3.6x | 104 | 31% |
| SMA 크로스오버 fast=10, slow=25 |
3.9% | -98.4% | 0.40 | 0.04 | 1.9x | 186 | 48% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=1.1 |
-2.5% | -99.2% | 0.28 | -0.03 | 0.7x | 152 | 40% |
| Buy and hold | 1.3% | -98.2% | 0.50 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 261-day EMA
- Sell — Sell when the 13-day EMA falls below the 261-day EMA