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 19.9%, MDD -44.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -86.5%).
Sharpe leader (same as main): Supertrend — CAGR 27.8%, MDD -53.8%, Sharpe 0.89, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.0%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 19.9%, 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 |
27.8% | -53.8% | 0.89 | 0.52 | 14.8x | 52 | 45% |
| ADX / DI 방향성 period=37, threshold=8 |
19.9% | -44.6% | 0.72 | 0.45 | 7.3x | 92 | 47% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=1.7 |
14.2% | -53.5% | 0.61 | 0.27 | 4.3x | 62 | 34% |
| EMA 크로스오버 fast=26, slow=30 |
15.7% | -47.9% | 0.59 | 0.33 | 5.0x | 44 | 51% |
| SMA 크로스오버 fast=22, slow=78 |
14.2% | -66.0% | 0.55 | 0.22 | 4.3x | 28 | 50% |
| Donchian 채널 돌파 entryN=60, exitN=45 |
12.4% | -52.8% | 0.52 | 0.24 | 3.6x | 20 | 48% |
| ROC 모멘텀 n=46, threshold=0.05 |
12.1% | -56.9% | 0.52 | 0.21 | 3.5x | 130 | 43% |
| 볼린저 밴드 돌파 n=40, k=2 |
10.6% | -55.1% | 0.50 | 0.19 | 3.0x | 54 | 35% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.1% | -66.7% | 0.37 | 0.11 | 2.1x | 99 | 49% |
| MACD fast=20, slow=43, signal=22 |
2.5% | -87.4% | 0.25 | 0.03 | 1.3x | 107 | 52% |
| Buy and hold | 1.8% | -86.5% | 0.30 | 0.02 | 1.2x | 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)