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 5.9%, MDD -8.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.6%, drawdown -62.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.9%, MDD -8.1%, Sharpe 0.72, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.8%, MDD -44.5%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 5.9%, 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 |
5.9% | -8.1% | 0.72 | 0.73 | 1.3x | 2 | 6% |
| SMA 크로스오버 fast=30, slow=177 |
7.8% | -44.5% | 0.40 | 0.18 | 1.5x | 13 | 45% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
3.9% | -12.3% | 0.39 | 0.32 | 1.2x | 2 | 9% |
| MACD fast=31, slow=69, signal=47 |
6.2% | -37.4% | 0.35 | 0.17 | 1.4x | 23 | 51% |
| EMA 크로스오버 fast=56, slow=188 |
4.3% | -35.9% | 0.29 | 0.12 | 1.2x | 5 | 38% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.1 |
3.3% | -34.4% | 0.29 | 0.10 | 1.2x | 7 | 15% |
| ROC 모멘텀 n=139, threshold=0.1 |
1.8% | -38.1% | 0.19 | 0.05 | 1.1x | 51 | 29% |
| Donchian 채널 돌파 entryN=79, exitN=14 |
1.6% | -30.6% | 0.18 | 0.05 | 1.1x | 7 | 21% |
| Supertrend period=11, mult=5 |
-0.4% | -56.2% | 0.16 | -0.01 | 1.0x | 11 | 54% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-22.0% | -83.0% | -0.55 | -0.27 | 0.3x | 158 | 51% |
| Buy and hold | 1.6% | -62.2% | 0.28 | 0.03 | 1.1x | 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)