Trend-Following Backtester · Guide · backtest 한국어
equity · US
ZIM Integrated Shipping Services Ltd. backtest
10 trend-following strategies were compared on the full daily history of ZIM Integrated Shipping Services Ltd.. 4 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 24.9%, MDD -45.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.2%, drawdown -92.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 29.8%, MDD -58.8%, Sharpe 0.78, 48% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 24.9%, MDD -45.5%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.035, maxStep=0.06 |
29.8% | -58.8% | 0.78 | 0.51 | 4.2x | 81 | 48% |
| ROC 모멘텀 n=138, threshold=0 |
24.9% | -45.5% | 0.73 | 0.55 | 3.4x | 21 | 45% |
| ADX / DI 방향성 period=29, threshold=44 |
7.1% | -17.9% | 0.70 | 0.40 | 1.5x | 2 | 2% |
| Supertrend period=27, mult=1.6 |
19.4% | -47.7% | 0.61 | 0.41 | 2.6x | 94 | 42% |
| Donchian 채널 돌파 entryN=51, exitN=82 |
18.8% | -69.0% | 0.59 | 0.27 | 2.6x | 7 | 54% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=20, mult=2.9 |
13.8% | -48.0% | 0.56 | 0.29 | 2.0x | 20 | 19% |
| SMA 크로스오버 fast=49, slow=181 |
14.7% | -57.0% | 0.53 | 0.26 | 2.1x | 5 | 41% |
| 볼린저 밴드 돌파 n=25, k=2.3 |
12.3% | -47.1% | 0.51 | 0.26 | 1.9x | 30 | 23% |
| EMA 크로스오버 fast=54, slow=62 |
9.1% | -69.3% | 0.42 | 0.13 | 1.6x | 10 | 47% |
| MACD fast=13, slow=29, signal=16 |
3.4% | -60.4% | 0.31 | 0.06 | 1.2x | 81 | 51% |
| Buy and hold | 15.2% | -92.6% | 0.55 | 0.16 | 2.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots