Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zscaler, Inc. backtest
10 trend-following strategies were compared on the full daily history of Zscaler, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 30.6%, MDD -46.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 22.8%, drawdown -76.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.6%, MDD -46.2%, Sharpe 0.89, 54% exposure.
CAGR reference leader: Supertrend — CAGR 31.2%, MDD -47.0%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 30.6%, MDD -46.2%, exposure 54%).
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=25, slow=174 |
30.6% | -46.2% | 0.89 | 0.66 | 9.6x | 11 | 54% |
| Supertrend period=17, mult=3.9 |
31.2% | -47.0% | 0.88 | 0.66 | 9.9x | 35 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=76 |
30.5% | -62.2% | 0.79 | 0.49 | 9.5x | 17 | 78% |
| ROC 모멘텀 n=126, threshold=0.01 |
25.9% | -50.3% | 0.78 | 0.51 | 7.0x | 35 | 58% |
| EMA 크로스오버 fast=59, slow=144 |
26.0% | -47.6% | 0.78 | 0.55 | 7.1x | 8 | 57% |
| ADX / DI 방향성 period=36, threshold=11 |
21.8% | -56.0% | 0.72 | 0.39 | 5.3x | 73 | 46% |
| 볼린저 밴드 돌파 n=24, k=1.1 |
18.2% | -48.9% | 0.63 | 0.37 | 4.1x | 93 | 47% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=1.7 |
12.3% | -58.1% | 0.50 | 0.21 | 2.7x | 63 | 44% |
| Parabolic SAR step=0.015, maxStep=0.18 |
10.1% | -62.9% | 0.44 | 0.16 | 2.3x | 147 | 54% |
| MACD fast=18, slow=50, signal=19 |
8.7% | -63.1% | 0.41 | 0.14 | 2.0x | 89 | 53% |
| Buy and hold | 22.8% | -76.4% | 0.65 | 0.30 | 5.7x | 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 25-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 25-day average falls below the 174-day average