Trend-Following Backtester · Guide · backtest 한국어
equity · US
LifeStance Health Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of LifeStance Health Group, 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 8.2%, MDD -14.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -13.4%, drawdown -86.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.2%, MDD -14.3%, Sharpe 0.68, 11% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.1%, MDD -26.9%, exposure 33%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.7%p higher than buy and hold, while drawdown improves by 72.6%p (CAGR 8.2%, MDD -14.3%, exposure 11%).
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=18, threshold=29 |
8.2% | -14.3% | 0.68 | 0.57 | 1.5x | 11 | 11% |
| EMA 크로스오버 fast=46, slow=125 |
9.1% | -26.9% | 0.50 | 0.34 | 1.6x | 5 | 33% |
| Supertrend period=22, mult=2.6 |
7.9% | -52.5% | 0.39 | 0.15 | 1.5x | 31 | 45% |
| Donchian 채널 돌파 entryN=17, exitN=66 |
6.0% | -67.1% | 0.37 | 0.09 | 1.4x | 13 | 66% |
| SMA 크로스오버 fast=33, slow=174 |
5.8% | -31.3% | 0.35 | 0.18 | 1.3x | 7 | 34% |
| 볼린저 밴드 돌파 n=48, k=2.8 |
4.9% | -24.7% | 0.35 | 0.20 | 1.3x | 11 | 24% |
| ROC 모멘텀 n=146, threshold=0.01 |
1.9% | -50.0% | 0.21 | 0.04 | 1.1x | 37 | 35% |
| MACD fast=9, slow=55, signal=19 |
-6.7% | -64.3% | 0.08 | -0.10 | 0.7x | 62 | 47% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=1.2 |
-4.6% | -49.2% | 0.02 | -0.09 | 0.8x | 37 | 39% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-19.5% | -81.5% | -0.17 | -0.24 | 0.3x | 88 | 48% |
| Buy and hold | -13.4% | -86.9% | 0.13 | -0.15 | 0.5x | 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, 18-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)