Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zimmer Biomet Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Zimmer Biomet Holdings, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.8%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.8%, drawdown -65.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.8%, MDD -51.5%, Sharpe 0.30, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 13.5%p (CAGR 3.8%, MDD -51.5%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=114, exitN=80 |
3.8% | -51.5% | 0.30 | 0.07 | 2.5x | 28 | 52% |
| 볼린저 밴드 돌파 n=42, k=3.2 |
1.4% | -20.8% | 0.27 | 0.07 | 1.4x | 22 | 10% |
| ADX / DI 방향성 period=29, threshold=35 |
0.7% | -4.8% | 0.25 | 0.14 | 1.2x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=4 |
1.3% | -22.3% | 0.23 | 0.06 | 1.4x | 32 | 13% |
| SMA 크로스오버 fast=75, slow=166 |
2.4% | -69.3% | 0.22 | 0.03 | 1.8x | 36 | 55% |
| Supertrend period=26, mult=5 |
2.3% | -50.5% | 0.21 | 0.04 | 1.7x | 77 | 55% |
| EMA 크로스오버 fast=51, slow=87 |
1.8% | -62.1% | 0.19 | 0.03 | 1.5x | 43 | 56% |
| ROC 모멘텀 n=122, threshold=0.06 |
0.9% | -55.8% | 0.14 | 0.02 | 1.3x | 193 | 45% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.5% | -76.3% | -0.11 | -0.05 | 0.4x | 217 | 53% |
| MACD fast=18, slow=34, signal=18 |
-5.8% | -81.8% | -0.23 | -0.07 | 0.2x | 317 | 50% |
| Buy and hold | 4.8% | -65.0% | 0.31 | 0.07 | 3.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 114 days
- Sell — Sell when price breaks below the lowest low of the last 80 days