Trend-Following Backtester · Guide · backtest 한국어
equity · US
StepStone Group Inc. backtest
10 trend-following strategies were compared on the full daily history of StepStone Group Inc.. 3 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 12.0%, MDD -14.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.1%, drawdown -61.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.0%, MDD -14.4%, Sharpe 0.83, 17% exposure.
CAGR reference leader: Supertrend — CAGR 15.7%, MDD -53.0%, exposure 66%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 47.3%p (CAGR 12.0%, MDD -14.4%, exposure 17%).
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=28, threshold=21 |
12.0% | -14.4% | 0.83 | 0.83 | 2.0x | 22 | 17% |
| Supertrend period=14, mult=5 |
15.7% | -53.0% | 0.64 | 0.30 | 2.4x | 12 | 66% |
| 볼린저 밴드 돌파 n=26, k=2.7 |
10.0% | -17.1% | 0.63 | 0.59 | 1.8x | 21 | 23% |
| MACD fast=11, slow=33, signal=15 |
13.8% | -40.4% | 0.61 | 0.34 | 2.2x | 91 | 49% |
| Donchian 채널 돌파 entryN=16, exitN=57 |
15.1% | -43.6% | 0.58 | 0.35 | 2.3x | 13 | 78% |
| EMA 크로스오버 fast=7, slow=130 |
11.5% | -42.2% | 0.55 | 0.27 | 1.9x | 19 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=3.2 |
5.7% | -17.0% | 0.51 | 0.34 | 1.4x | 10 | 13% |
| ROC 모멘텀 n=123, threshold=0.01 |
9.4% | -39.7% | 0.47 | 0.24 | 1.7x | 31 | 52% |
| SMA 크로스오버 fast=48, slow=87 |
7.4% | -50.6% | 0.39 | 0.15 | 1.5x | 24 | 52% |
| Parabolic SAR step=0.02, maxStep=0.2 |
3.2% | -42.6% | 0.25 | 0.07 | 1.2x | 138 | 52% |
| Buy and hold | 13.1% | -61.6% | 0.50 | 0.21 | 2.1x | 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, 28-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)