Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Zen Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of Zen Technologies Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 35.3%, MDD -36.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 35.5%, drawdown -85.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.3%, MDD -36.8%, Sharpe 1.04, 41% exposure.
CAGR reference leader: MACD — CAGR 38.6%, MDD -63.8%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 48.4%p (CAGR 35.3%, MDD -36.8%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=104, exitN=43 |
35.3% | -36.8% | 1.04 | 0.96 | 31.5x | 9 | 41% |
| MACD fast=15, slow=19, signal=16 |
38.6% | -63.8% | 1.03 | 0.61 | 41.7x | 165 | 49% |
| 볼린저 밴드 돌파 n=18, k=1.3 |
34.7% | -59.0% | 0.99 | 0.59 | 30.1x | 160 | 38% |
| SMA 크로스오버 fast=14, slow=141 |
32.6% | -58.8% | 0.92 | 0.55 | 25.2x | 31 | 54% |
| Parabolic SAR step=0.015, maxStep=0.36 |
33.1% | -65.3% | 0.92 | 0.51 | 26.2x | 182 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=3.7 |
25.9% | -37.5% | 0.92 | 0.69 | 13.9x | 24 | 26% |
| EMA 크로스오버 fast=41, slow=43 |
32.0% | -62.6% | 0.89 | 0.51 | 23.9x | 35 | 56% |
| Supertrend period=17, mult=2.1 |
30.4% | -65.8% | 0.87 | 0.46 | 20.7x | 112 | 48% |
| ROC 모멘텀 n=125, threshold=0.06 |
26.6% | -47.4% | 0.84 | 0.56 | 14.8x | 83 | 45% |
| ADX / DI 방향성 period=11, threshold=35 |
19.7% | -46.8% | 0.82 | 0.42 | 7.8x | 54 | 16% |
| Buy and hold | 35.5% | -85.2% | 0.83 | 0.42 | 32.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 104 days
- Sell — Sell when price breaks below the lowest low of the last 43 days