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.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 30.0%, MDD -46.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 19.8%, drawdown -76.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.0%, MDD -46.2%, Sharpe 0.88, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 30.0%, 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 |
30.0% | -46.2% | 0.88 | 0.65 | 9.0x | 10 | 54% |
| Supertrend period=17, mult=3.9 |
29.4% | -47.0% | 0.85 | 0.63 | 8.7x | 34 | 52% |
| EMA 크로스오버 fast=59, slow=144 |
26.3% | -47.6% | 0.78 | 0.55 | 7.1x | 8 | 58% |
| ROC 모멘텀 n=126, threshold=0.01 |
25.3% | -50.3% | 0.77 | 0.50 | 6.6x | 34 | 58% |
| Donchian 채널 돌파 entryN=21, exitN=76 |
27.5% | -62.2% | 0.74 | 0.44 | 7.6x | 17 | 78% |
| ADX / DI 방향성 period=36, threshold=11 |
20.0% | -56.0% | 0.68 | 0.36 | 4.6x | 71 | 45% |
| 볼린저 밴드 돌파 n=24, k=1.1 |
15.3% | -48.9% | 0.57 | 0.31 | 3.3x | 93 | 47% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=1.7 |
10.6% | -58.1% | 0.46 | 0.18 | 2.3x | 62 | 44% |
| Parabolic SAR step=0.015, maxStep=0.18 |
7.9% | -62.9% | 0.39 | 0.13 | 1.9x | 145 | 54% |
| MACD fast=18, slow=50, signal=19 |
5.9% | -63.1% | 0.35 | 0.09 | 1.6x | 89 | 53% |
| Buy and hold | 19.8% | -76.4% | 0.60 | 0.26 | 4.6x | 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