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 10.0%, MDD -36.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -79.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -14.9%, Sharpe 0.59, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.0%, MDD -36.5%, exposure 57%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p lower than buy and hold, while drawdown improves by 65.0%p (CAGR 10.0%, MDD -36.5%, exposure 57%).
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=34, threshold=23 |
4.1% | -14.9% | 0.59 | 0.27 | 1.7x | 18 | 9% |
| SMA 크로스오버 fast=65, slow=220 |
10.0% | -36.5% | 0.59 | 0.27 | 3.8x | 17 | 57% |
| EMA 크로스오버 fast=66, slow=82 |
5.9% | -53.2% | 0.39 | 0.11 | 2.2x | 25 | 61% |
| ROC 모멘텀 n=194, threshold=-0.04 |
5.9% | -35.5% | 0.39 | 0.17 | 2.2x | 57 | 65% |
| Donchian 채널 돌파 entryN=53, exitN=58 |
5.8% | -56.1% | 0.37 | 0.10 | 2.2x | 23 | 69% |
| 볼린저 밴드 돌파 n=75, k=3.4 |
2.8% | -23.1% | 0.34 | 0.12 | 1.5x | 12 | 15% |
| Supertrend period=17, mult=4.7 |
3.7% | -44.6% | 0.29 | 0.08 | 1.7x | 39 | 56% |
| Parabolic SAR step=0.005, maxStep=0.1 |
2.7% | -49.5% | 0.23 | 0.05 | 1.4x | 121 | 55% |
| MACD fast=17, slow=30, signal=20 |
-0.0% | -56.0% | 0.10 | -0.00 | 1.0x | 182 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=32, mult=3.2 |
-0.1% | -39.3% | 0.05 | -0.00 | 1.0x | 40 | 25% |
| Buy and hold | 8.9% | -79.9% | 0.43 | 0.11 | 3.3x | 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, 34-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)