Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zoetis Inc. backtest
10 trend-following strategies were compared on the full daily history of Zoetis Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.2%, MDD -27.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.0%, drawdown -70.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.9%, MDD -42.1%, Sharpe 0.61, 65% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 6.2%, MDD -27.8%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=18, slow=354 |
10.9% | -42.1% | 0.61 | 0.26 | 4.0x | 14 | 65% |
| SMA 크로스오버 fast=56, slow=211 |
8.5% | -44.0% | 0.51 | 0.19 | 3.0x | 16 | 62% |
| Donchian 채널 돌파 entryN=37, exitN=56 |
6.3% | -37.3% | 0.43 | 0.17 | 2.3x | 32 | 65% |
| Supertrend period=30, mult=5 |
6.2% | -27.8% | 0.43 | 0.22 | 2.3x | 36 | 62% |
| ROC 모멘텀 n=120, threshold=0.03 |
5.0% | -37.8% | 0.38 | 0.13 | 1.9x | 106 | 54% |
| Parabolic SAR step=0.01, maxStep=0.02 |
4.7% | -40.6% | 0.35 | 0.12 | 1.9x | 76 | 61% |
| ADX / DI 방향성 period=38, threshold=13 |
3.3% | -25.3% | 0.33 | 0.13 | 1.6x | 56 | 31% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=2.3 |
3.0% | -24.0% | 0.28 | 0.12 | 1.5x | 58 | 40% |
| 볼린저 밴드 돌파 n=50, k=3.1 |
1.2% | -19.9% | 0.18 | 0.06 | 1.2x | 20 | 14% |
| MACD fast=19, slow=56, signal=23 |
-1.8% | -53.9% | -0.02 | -0.03 | 0.8x | 123 | 48% |
| Buy and hold | 7.0% | -70.9% | 0.39 | 0.10 | 2.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 354-day EMA
- Sell — Sell when the 18-day EMA falls below the 354-day EMA