Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Espressif Systems (Shanghai) Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Espressif Systems (Shanghai) Co. Ltd. Class A. 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 19.9%, MDD -31.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 13.2%, drawdown -75.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.9%, MDD -31.2%, Sharpe 0.72, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.4%, MDD -41.3%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 19.9%, MDD -31.2%, exposure 19%).
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=17, threshold=29 |
19.9% | -31.2% | 0.72 | 0.64 | 3.7x | 24 | 19% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=2 |
20.6% | -42.8% | 0.69 | 0.48 | 3.8x | 22 | 31% |
| SMA 크로스오버 fast=45, slow=112 |
22.4% | -41.3% | 0.69 | 0.54 | 4.3x | 12 | 40% |
| MACD fast=37, slow=74, signal=15 |
21.0% | -43.7% | 0.67 | 0.48 | 4.0x | 39 | 47% |
| 볼린저 밴드 돌파 n=49, k=2.2 |
18.8% | -36.8% | 0.66 | 0.51 | 3.4x | 20 | 27% |
| ROC 모멘텀 n=65, threshold=0.11 |
16.1% | -44.5% | 0.57 | 0.36 | 2.9x | 52 | 33% |
| Supertrend period=28, mult=4.5 |
16.2% | -59.9% | 0.56 | 0.27 | 2.9x | 20 | 47% |
| Parabolic SAR step=0.005, maxStep=0.02 |
15.5% | -49.9% | 0.55 | 0.31 | 2.8x | 31 | 47% |
| Donchian 채널 돌파 entryN=86, exitN=31 |
14.3% | -37.2% | 0.54 | 0.38 | 2.6x | 12 | 28% |
| EMA 크로스오버 fast=23, slow=78 |
12.1% | -53.3% | 0.48 | 0.23 | 2.3x | 20 | 43% |
| Buy and hold | 13.2% | -75.7% | 0.51 | 0.17 | 2.4x | 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, 17-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)