Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sunoco LP backtest
10 trend-following strategies were compared on the full daily history of Sunoco LP. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.6%, MDD -33.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.6%, drawdown -79.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -17.7%, Sharpe 0.62, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.6%, MDD -33.3%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 62.2%p (CAGR 9.6%, MDD -33.3%, exposure 58%).
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=30, threshold=24 |
4.3% | -17.7% | 0.62 | 0.24 | 1.8x | 16 | 9% |
| SMA 크로스오버 fast=56, slow=224 |
9.6% | -33.3% | 0.57 | 0.29 | 3.6x | 13 | 58% |
| Donchian 채널 돌파 entryN=10, exitN=63 |
8.2% | -54.5% | 0.44 | 0.15 | 3.0x | 33 | 86% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
3.1% | -21.8% | 0.40 | 0.14 | 1.5x | 10 | 13% |
| EMA 크로스오버 fast=50, slow=104 |
5.6% | -51.3% | 0.38 | 0.11 | 2.2x | 27 | 61% |
| ROC 모멘텀 n=149, threshold=-0.1 |
5.0% | -61.0% | 0.33 | 0.08 | 2.0x | 63 | 75% |
| Supertrend period=22, mult=3.5 |
3.5% | -49.4% | 0.27 | 0.07 | 1.6x | 67 | 56% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.3% | -49.5% | 0.21 | 0.05 | 1.4x | 122 | 55% |
| MACD fast=18, slow=26, signal=22 |
0.2% | -53.4% | 0.11 | 0.00 | 1.0x | 176 | 49% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=3.1 |
0.4% | -39.9% | 0.09 | 0.01 | 1.1x | 40 | 27% |
| Buy and hold | 8.6% | -79.9% | 0.41 | 0.11 | 3.2x | 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, 30-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)