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.. 5 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 12.2%, MDD -14.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.0%, drawdown -61.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.2%, MDD -14.4%, Sharpe 0.84, 17% exposure.
CAGR reference leader: Supertrend — CAGR 15.9%, MDD -53.0%, exposure 67%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 12.2%, 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 |
12.2% | -14.4% | 0.84 | 0.85 | 2.0x | 22 | 17% |
| Supertrend period=14, mult=5 |
15.9% | -53.0% | 0.64 | 0.30 | 2.4x | 12 | 67% |
| 볼린저 밴드 돌파 n=26, k=2.7 |
8.9% | -17.1% | 0.61 | 0.52 | 1.7x | 20 | 22% |
| Donchian 채널 돌파 entryN=16, exitN=57 |
13.2% | -42.8% | 0.54 | 0.31 | 2.1x | 12 | 77% |
| EMA 크로스오버 fast=7, slow=130 |
10.8% | -42.2% | 0.53 | 0.26 | 1.8x | 18 | 54% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=3.2 |
5.8% | -17.0% | 0.51 | 0.34 | 1.4x | 10 | 13% |
| MACD fast=11, slow=33, signal=15 |
10.7% | -40.4% | 0.51 | 0.26 | 1.8x | 91 | 48% |
| ROC 모멘텀 n=123, threshold=0.01 |
8.8% | -39.7% | 0.45 | 0.22 | 1.6x | 30 | 52% |
| SMA 크로스오버 fast=48, slow=87 |
7.5% | -50.6% | 0.39 | 0.15 | 1.5x | 24 | 53% |
| Parabolic SAR step=0.02, maxStep=0.2 |
2.7% | -42.6% | 0.24 | 0.06 | 1.2x | 136 | 52% |
| Buy and hold | 10.0% | -61.6% | 0.44 | 0.16 | 1.7x | 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)