Trend-Following Backtester · Guide · backtest 한국어
equity · US
Esquire Financial Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Esquire Financial Holdings, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.2%, MDD -27.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.2%, drawdown -56.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.2%, MDD -27.2%, Sharpe 0.88, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 23.2%, MDD -27.2%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=75 |
23.2% | -27.2% | 0.88 | 0.85 | 6.8x | 41 | 68% |
| ROC 모멘텀 n=137, threshold=-0.07 |
21.2% | -34.0% | 0.78 | 0.62 | 5.8x | 31 | 84% |
| Donchian 채널 돌파 entryN=49, exitN=74 |
19.8% | -35.4% | 0.78 | 0.56 | 5.2x | 9 | 77% |
| EMA 크로스오버 fast=50, slow=82 |
18.6% | -35.4% | 0.74 | 0.52 | 4.8x | 15 | 76% |
| ADX / DI 방향성 period=28, threshold=34 |
3.3% | -6.4% | 0.68 | 0.51 | 1.3x | 2 | 3% |
| Supertrend period=21, mult=4.8 |
13.9% | -39.1% | 0.62 | 0.36 | 3.3x | 20 | 69% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=11, mult=2.6 |
7.2% | -42.3% | 0.46 | 0.17 | 1.9x | 30 | 33% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
5.4% | -29.5% | 0.39 | 0.18 | 1.6x | 16 | 23% |
| MACD fast=22, slow=30, signal=23 |
4.0% | -43.7% | 0.28 | 0.09 | 1.4x | 100 | 51% |
| Parabolic SAR step=0.02, maxStep=0.24 |
1.2% | -50.6% | 0.18 | 0.02 | 1.1x | 186 | 57% |
| Buy and hold | 24.2% | -56.5% | 0.74 | 0.43 | 7.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 54-day average falls below the 75-day average