Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zebra Technologies Corporation backtest
10 trend-following strategies were compared on the full daily history of Zebra Technologies Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -73.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -59.6%, Sharpe 0.44, 63% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=149 |
8.9% | -59.6% | 0.44 | 0.15 | 19.9x | 59 | 63% |
| Donchian 채널 돌파 entryN=75, exitN=61 |
7.1% | -64.7% | 0.39 | 0.11 | 11.1x | 61 | 58% |
| EMA 크로스오버 fast=51, slow=64 |
7.0% | -69.5% | 0.38 | 0.10 | 10.6x | 77 | 63% |
| ROC 모멘텀 n=133, threshold=-0.07 |
5.8% | -67.5% | 0.34 | 0.09 | 7.1x | 259 | 71% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
1.9% | -30.9% | 0.25 | 0.06 | 1.9x | 30 | 9% |
| Supertrend period=24, mult=4.8 |
2.2% | -64.6% | 0.22 | 0.03 | 2.2x | 125 | 59% |
| MACD fast=16, slow=36, signal=14 |
1.9% | -90.5% | 0.21 | 0.02 | 1.9x | 483 | 51% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=4 |
1.0% | -35.8% | 0.15 | 0.03 | 1.4x | 68 | 15% |
| Parabolic SAR step=0.035, maxStep=0.04 |
0.0% | -87.1% | 0.14 | 0.00 | 1.0x | 415 | 57% |
| ADX / DI 방향성 period=20, threshold=36 |
-0.2% | -33.9% | -0.02 | -0.01 | 0.9x | 24 | 3% |
| Buy and hold | 13.0% | -73.4% | 0.50 | 0.18 | 72.1x | 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 46-day average price crosses above the 149-day average
- Sell — Sell (to cash) when the 46-day average falls below the 149-day average