Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zion Oil & Gas, Inc. backtest
10 trend-following strategies were compared on the full daily history of Zion Oil & Gas, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -15.9%, drawdown -99.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -1.6%, MDD -98.2%, Sharpe 0.34, 44% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.0%, MDD -92.2%, exposure 27%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=8, threshold=21 |
-1.6% | -98.2% | 0.34 | -0.02 | 0.7x | 422 | 44% |
| 볼린저 밴드 돌파 n=19, k=1.2 |
-0.0% | -92.2% | 0.30 | -0.00 | 1.0x | 238 | 27% |
| Supertrend period=21, mult=2.9 |
-1.2% | -94.3% | 0.30 | -0.01 | 0.8x | 126 | 32% |
| Donchian 채널 돌파 entryN=29, exitN=19 |
-0.8% | -90.6% | 0.29 | -0.01 | 0.8x | 86 | 33% |
| SMA 크로스오버 fast=38, slow=183 |
-2.0% | -96.6% | 0.26 | -0.02 | 0.7x | 37 | 38% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-5.2% | -98.6% | 0.26 | -0.05 | 0.4x | 289 | 39% |
| ROC 모멘텀 n=15, threshold=0.06 |
-3.7% | -94.9% | 0.26 | -0.04 | 0.5x | 438 | 27% |
| MACD fast=16, slow=38, signal=8 |
-12.9% | -99.7% | 0.21 | -0.13 | 0.1x | 325 | 52% |
| EMA 크로스오버 fast=71, slow=73 |
-5.2% | -95.9% | 0.21 | -0.05 | 0.4x | 43 | 37% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=2.4 |
-6.8% | -95.4% | 0.12 | -0.07 | 0.2x | 74 | 19% |
| Buy and hold | -15.9% | -99.8% | 0.33 | -0.16 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 8-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)