Trend-Following Backtester · Guide · backtest 한국어
equity · US
SunCoke Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of SunCoke Energy, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -26.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.3%, drawdown -91.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -56.0%, Sharpe 0.31, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 2.6%, MDD -26.2%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=200 |
4.8% | -56.0% | 0.31 | 0.09 | 2.0x | 21 | 47% |
| Donchian 채널 돌파 entryN=37, exitN=35 |
4.7% | -63.1% | 0.30 | 0.07 | 2.0x | 47 | 46% |
| EMA 크로스오버 fast=22, slow=24 |
4.5% | -73.0% | 0.30 | 0.06 | 1.9x | 89 | 49% |
| Supertrend period=15, mult=5 |
4.4% | -62.1% | 0.30 | 0.07 | 1.9x | 41 | 46% |
| ADX / DI 방향성 period=36, threshold=27 |
2.6% | -26.2% | 0.29 | 0.10 | 1.5x | 6 | 3% |
| 볼린저 밴드 돌파 n=58, k=2.1 |
3.8% | -43.6% | 0.28 | 0.09 | 1.8x | 49 | 28% |
| ROC 모멘텀 n=61, threshold=0.09 |
2.4% | -50.8% | 0.22 | 0.05 | 1.4x | 150 | 32% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=2.7 |
2.1% | -49.4% | 0.21 | 0.04 | 1.4x | 51 | 26% |
| MACD fast=7, slow=33, signal=19 |
-2.7% | -82.4% | 0.12 | -0.03 | 0.7x | 247 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-8.8% | -82.3% | -0.08 | -0.11 | 0.2x | 273 | 50% |
| Buy and hold | -3.3% | -91.0% | 0.20 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 56-day average falls below the 200-day average