Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stevanato Group S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Stevanato Group S.p.A.. 8 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 6.0%, MDD -8.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.1%, drawdown -62.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.0%, MDD -8.1%, Sharpe 0.73, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.4%, MDD -44.5%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 6.0%, MDD -8.1%, exposure 6%).
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=28 |
6.0% | -8.1% | 0.73 | 0.75 | 1.3x | 2 | 6% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
4.0% | -12.3% | 0.39 | 0.33 | 1.2x | 2 | 9% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.1 |
4.3% | -29.9% | 0.36 | 0.14 | 1.2x | 6 | 15% |
| SMA 크로스오버 fast=30, slow=177 |
6.4% | -44.5% | 0.35 | 0.14 | 1.4x | 13 | 44% |
| MACD fast=31, slow=69, signal=47 |
4.7% | -37.4% | 0.30 | 0.13 | 1.3x | 23 | 51% |
| EMA 크로스오버 fast=56, slow=188 |
3.4% | -35.9% | 0.26 | 0.09 | 1.2x | 4 | 38% |
| ROC 모멘텀 n=139, threshold=0.1 |
1.8% | -38.1% | 0.19 | 0.05 | 1.1x | 50 | 28% |
| Supertrend period=11, mult=5 |
-2.0% | -56.2% | 0.12 | -0.03 | 0.9x | 11 | 53% |
| Donchian 채널 돌파 entryN=79, exitN=14 |
0.1% | -30.6% | 0.10 | 0.00 | 1.0x | 7 | 19% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-22.3% | -83.0% | -0.56 | -0.27 | 0.3x | 155 | 50% |
| Buy and hold | 0.1% | -62.2% | 0.25 | 0.00 | 1.0x | 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 ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)