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; ADX / DI 방향성 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 -4.6%, drawdown -91.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.6%, MDD -26.2%, Sharpe 0.29, 3% exposure.
CAGR reference leader: Supertrend — CAGR 4.0%, MDD -62.1%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 64.8%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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=27 |
2.6% | -26.2% | 0.29 | 0.10 | 1.5x | 6 | 3% |
| Supertrend period=15, mult=5 |
4.0% | -62.1% | 0.28 | 0.06 | 1.8x | 40 | 46% |
| 볼린저 밴드 돌파 n=58, k=2.1 |
3.9% | -43.6% | 0.28 | 0.09 | 1.8x | 48 | 28% |
| Donchian 채널 돌파 entryN=37, exitN=35 |
3.4% | -63.1% | 0.26 | 0.05 | 1.6x | 47 | 46% |
| SMA 크로스오버 fast=56, slow=200 |
3.5% | -56.0% | 0.26 | 0.06 | 1.7x | 21 | 46% |
| EMA 크로스오버 fast=22, slow=24 |
3.1% | -73.0% | 0.26 | 0.04 | 1.6x | 89 | 48% |
| ROC 모멘텀 n=61, threshold=0.09 |
1.7% | -50.8% | 0.20 | 0.03 | 1.3x | 147 | 32% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=2.7 |
0.7% | -49.4% | 0.15 | 0.01 | 1.1x | 51 | 26% |
| MACD fast=7, slow=33, signal=19 |
-3.1% | -82.4% | 0.11 | -0.04 | 0.6x | 245 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-9.3% | -82.3% | -0.09 | -0.11 | 0.2x | 272 | 50% |
| Buy and hold | -4.6% | -91.0% | 0.17 | -0.05 | 0.5x | 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, 36-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)