Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zillow Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Zillow Group, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.5%, MDD -44.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.1%, drawdown -86.5%).
Sharpe leader (same as main): Supertrend — CAGR 27.1%, MDD -53.8%, Sharpe 0.87, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 18.5%, MDD -44.6%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=3.3 |
27.1% | -53.8% | 0.87 | 0.50 | 14.2x | 53 | 46% |
| ADX / DI 방향성 period=37, threshold=8 |
18.5% | -44.6% | 0.68 | 0.42 | 6.6x | 95 | 47% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=1.7 |
14.1% | -53.5% | 0.61 | 0.26 | 4.3x | 62 | 34% |
| EMA 크로스오버 fast=26, slow=30 |
15.6% | -47.9% | 0.59 | 0.33 | 5.0x | 45 | 51% |
| SMA 크로스오버 fast=22, slow=78 |
13.7% | -66.0% | 0.54 | 0.21 | 4.2x | 29 | 50% |
| Donchian 채널 돌파 entryN=60, exitN=45 |
12.3% | -52.8% | 0.52 | 0.23 | 3.6x | 20 | 48% |
| ROC 모멘텀 n=46, threshold=0.05 |
12.0% | -56.9% | 0.52 | 0.21 | 3.5x | 131 | 43% |
| 볼린저 밴드 돌파 n=40, k=2 |
10.1% | -55.1% | 0.48 | 0.18 | 2.9x | 55 | 35% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.3% | -67.2% | 0.38 | 0.11 | 2.2x | 99 | 49% |
| MACD fast=20, slow=43, signal=22 |
2.8% | -87.4% | 0.26 | 0.03 | 1.4x | 107 | 53% |
| Buy and hold | 2.1% | -86.5% | 0.30 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)