Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stepan Company backtest
10 trend-following strategies were compared on the full daily history of Stepan Company. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -69.3%).
Sharpe leader (same as main): Supertrend — CAGR 5.5%, MDD -55.8%, Sharpe 0.35, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=4, mult=3.7 |
5.5% | -55.8% | 0.35 | 0.10 | 17.8x | 443 | 55% |
| Donchian 채널 돌파 entryN=10, exitN=78 |
5.3% | -64.4% | 0.33 | 0.08 | 15.9x | 209 | 85% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.8% | -65.2% | 0.28 | 0.06 | 7.4x | 399 | 52% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=12, mult=2.2 |
2.9% | -52.6% | 0.26 | 0.06 | 4.6x | 371 | 26% |
| 볼린저 밴드 돌파 n=11, k=2.5 |
1.8% | -47.2% | 0.22 | 0.04 | 2.6x | 273 | 11% |
| MACD fast=20, slow=55, signal=18 |
1.9% | -76.7% | 0.20 | 0.03 | 2.8x | 535 | 49% |
| SMA 크로스오버 fast=11, slow=174 |
1.2% | -58.8% | 0.16 | 0.02 | 1.9x | 167 | 57% |
| EMA 크로스오버 fast=33, slow=51 |
0.6% | -73.3% | 0.13 | 0.01 | 1.3x | 201 | 55% |
| ADX / DI 방향성 period=39, threshold=13 |
-0.1% | -72.8% | 0.09 | -0.00 | 1.0x | 308 | 35% |
| ROC 모멘텀 n=82, threshold=-0.04 |
-1.9% | -95.4% | 0.04 | -0.02 | 0.4x | 577 | 66% |
| Buy and hold | 7.2% | -69.3% | 0.38 | 0.10 | 40.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 4-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)