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 11.6%, MDD -14.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.5%, drawdown -86.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.6%, MDD -14.3%, Sharpe 0.85, 13% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.5%, MDD -26.9%, exposure 35%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.0%p higher than buy and hold, while drawdown improves by 72.6%p (CAGR 11.6%, MDD -14.3%, exposure 13%).
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 |
11.6% | -14.3% | 0.85 | 0.81 | 1.8x | 11 | 13% |
| EMA 크로스오버 fast=46, slow=125 |
12.5% | -26.9% | 0.62 | 0.46 | 1.8x | 5 | 35% |
| 볼린저 밴드 돌파 n=48, k=2.8 |
8.2% | -24.7% | 0.50 | 0.33 | 1.5x | 11 | 25% |
| SMA 크로스오버 fast=33, slow=174 |
9.0% | -31.3% | 0.48 | 0.29 | 1.6x | 7 | 35% |
| Donchian 채널 돌파 entryN=17, exitN=66 |
9.3% | -67.1% | 0.43 | 0.14 | 1.6x | 13 | 66% |
| Supertrend period=22, mult=2.6 |
8.3% | -52.5% | 0.40 | 0.16 | 1.5x | 33 | 45% |
| ROC 모멘텀 n=146, threshold=0.01 |
5.1% | -50.0% | 0.32 | 0.10 | 1.3x | 37 | 36% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=1.2 |
-1.4% | -49.2% | 0.12 | -0.03 | 0.9x | 37 | 40% |
| MACD fast=9, slow=55, signal=19 |
-6.7% | -64.3% | 0.07 | -0.10 | 0.7x | 64 | 47% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-18.7% | -81.5% | -0.15 | -0.23 | 0.3x | 89 | 49% |
| Buy and hold | -10.5% | -86.9% | 0.18 | -0.12 | 0.6x | 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)