Trend-Following Backtester · Guide · backtest 한국어
equity · US
ZipRecruiter, Inc. backtest
10 trend-following strategies were compared on the full daily history of ZipRecruiter, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -1.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -27.7%, drawdown -94.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -1.7%, Sharpe 0.41, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.6%p higher than buy and hold, while drawdown improves by 93.1%p (CAGR 0.9%, MDD -1.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=25 |
0.9% | -1.7% | 0.41 | 0.52 | 1.0x | 2 | 1% |
| Supertrend period=16, mult=5 |
-9.0% | -82.7% | -0.04 | -0.11 | 0.6x | 15 | 36% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=4 |
-1.9% | -24.8% | -0.12 | -0.08 | 0.9x | 2 | 1% |
| 볼린저 밴드 돌파 n=15, k=2.6 |
-3.9% | -32.4% | -0.16 | -0.12 | 0.8x | 14 | 7% |
| ROC 모멘텀 n=75, threshold=0.1 |
-8.2% | -58.9% | -0.18 | -0.14 | 0.6x | 63 | 17% |
| SMA 크로스오버 fast=36, slow=144 |
-10.1% | -64.8% | -0.34 | -0.16 | 0.6x | 11 | 15% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-23.2% | -82.3% | -0.38 | -0.28 | 0.3x | 151 | 49% |
| Donchian 채널 돌파 entryN=68, exitN=28 |
-13.3% | -63.4% | -0.41 | -0.21 | 0.5x | 11 | 16% |
| EMA 크로스오버 fast=28, slow=166 |
-7.0% | -47.7% | -0.42 | -0.15 | 0.7x | 5 | 6% |
| MACD fast=15, slow=31, signal=14 |
-29.7% | -90.2% | -0.57 | -0.33 | 0.2x | 80 | 50% |
| Buy and hold | -27.7% | -94.7% | -0.20 | -0.29 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)