Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Zee Entertainment Enterprises Limited backtest
10 trend-following strategies were compared on the full daily history of Zee Entertainment Enterprises Limited. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -56.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.7%, drawdown -88.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -56.7%, Sharpe 0.36, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 7.0%, MDD -56.7%, exposure 55%).
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=15, slow=107 |
7.0% | -56.7% | 0.36 | 0.12 | 5.1x | 75 | 55% |
| Donchian 채널 돌파 entryN=71, exitN=61 |
5.5% | -69.5% | 0.32 | 0.08 | 3.6x | 35 | 52% |
| SMA 크로스오버 fast=27, slow=149 |
5.4% | -77.6% | 0.32 | 0.07 | 3.5x | 41 | 55% |
| ROC 모멘텀 n=95, threshold=-0.01 |
3.9% | -58.0% | 0.28 | 0.07 | 2.5x | 237 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.0% | -59.7% | 0.22 | 0.03 | 1.6x | 196 | 48% |
| Supertrend period=19, mult=3.6 |
1.6% | -80.1% | 0.21 | 0.02 | 1.5x | 98 | 53% |
| 볼린저 밴드 돌파 n=66, k=2.7 |
1.0% | -52.7% | 0.16 | 0.02 | 1.3x | 52 | 23% |
| ADX / DI 방향성 period=23, threshold=15 |
0.6% | -63.6% | 0.16 | 0.01 | 1.2x | 234 | 35% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=2.8 |
-0.3% | -48.6% | 0.11 | -0.01 | 0.9x | 68 | 24% |
| MACD fast=11, slow=22, signal=18 |
-3.2% | -84.8% | 0.08 | -0.04 | 0.5x | 373 | 51% |
| Buy and hold | 3.7% | -88.9% | 0.31 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 15-day EMA crosses above the 107-day EMA
- Sell — Sell when the 15-day EMA falls below the 107-day EMA