First I never heard of any steroids per say. Which one are you refering to?
Are these legal? I have seen a Gelding give a hormone that makes him think he's a whole horse so to speak. That is undetectable because its a natural substance. But it doesn't increase speed just makes the animal more aggressive. The only thing I'm aware of is Bute, a pain killer, and Lasix, for bleeding, both legal drugs.