Trend-Following Backtester · Guide · backtest 한국어
equity · US
ZoomInfo Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of ZoomInfo Technologies Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.9%, MDD -15.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.6%, drawdown -96.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.8%, MDD -40.5%, Sharpe 0.15, 22% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 32.4%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR -0.9%, MDD -15.2%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=192 |
0.8% | -40.5% | 0.15 | 0.02 | 1.0x | 4 | 22% |
| EMA 크로스오버 fast=29, slow=136 |
-1.0% | -35.1% | 0.08 | -0.03 | 0.9x | 6 | 21% |
| ADX / DI 방향성 period=50, threshold=14 |
-0.9% | -15.2% | -0.07 | -0.06 | 0.9x | 8 | 2% |
| ROC 모멘텀 n=132, threshold=0.11 |
-3.7% | -42.6% | -0.08 | -0.09 | 0.8x | 36 | 16% |
| Parabolic SAR step=0.035, maxStep=0.2 |
-12.7% | -75.8% | -0.18 | -0.17 | 0.4x | 177 | 49% |
| MACD fast=11, slow=21, signal=6 |
-14.5% | -79.9% | -0.19 | -0.18 | 0.4x | 133 | 54% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
-2.0% | -21.5% | -0.21 | -0.09 | 0.9x | 4 | 3% |
| Supertrend period=28, mult=4.5 |
-17.6% | -80.4% | -0.35 | -0.22 | 0.3x | 20 | 39% |
| Donchian 채널 돌파 entryN=23, exitN=38 |
-24.4% | -89.5% | -0.41 | -0.27 | 0.2x | 21 | 50% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=18, mult=1.7 |
-15.0% | -66.7% | -0.55 | -0.22 | 0.4x | 36 | 19% |
| Buy and hold | -31.6% | -96.6% | -0.30 | -0.33 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 54-day average falls below the 192-day average