Trend-Following Backtester · Guide · backtest 한국어
equity · US
StoneX Group Inc. backtest
10 trend-following strategies were compared on the full daily history of StoneX Group Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.3%, drawdown -97.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -95.5%, Sharpe 0.52, 84% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=75 |
16.3% | -95.5% | 0.52 | 0.17 | 116.1x | 76 | 84% |
| EMA 크로스오버 fast=76, slow=250 |
13.9% | -79.0% | 0.49 | 0.18 | 60.9x | 25 | 67% |
| SMA 크로스오버 fast=40, slow=114 |
14.8% | -88.5% | 0.49 | 0.17 | 76.9x | 65 | 60% |
| Supertrend period=12, mult=5 |
6.1% | -93.6% | 0.36 | 0.06 | 6.4x | 130 | 56% |
| ADX / DI 방향성 period=40, threshold=15 |
4.7% | -89.8% | 0.30 | 0.05 | 4.2x | 108 | 21% |
| ROC 모멘텀 n=87, threshold=0.02 |
2.9% | -91.6% | 0.30 | 0.03 | 2.4x | 406 | 55% |
| 볼린저 밴드 돌파 n=52, k=2.8 |
4.3% | -70.8% | 0.29 | 0.06 | 3.7x | 76 | 21% |
| MACD fast=30, slow=57, signal=30 |
-0.8% | -98.1% | 0.25 | -0.01 | 0.8x | 260 | 50% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=17, mult=4 |
-0.1% | -79.2% | 0.20 | -0.00 | 1.0x | 86 | 23% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-6.6% | -97.0% | 0.16 | -0.07 | 0.1x | 514 | 52% |
| Buy and hold | 17.3% | -97.7% | 0.56 | 0.18 | 152.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 75 days