Trend-Following Backtester · Guide · backtest 한국어
equity · US
CNX Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of CNX Resources Corporation. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.4%, MDD -56.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.8%, drawdown -95.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -64.5%, Sharpe 0.48, 58% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 9.4%, MDD -56.8%, exposure 54%).
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=25, slow=220 |
10.9% | -64.5% | 0.48 | 0.17 | 16.6x | 36 | 58% |
| EMA 크로스오버 fast=56, slow=81 |
9.7% | -64.1% | 0.44 | 0.15 | 12.4x | 54 | 57% |
| ROC 모멘텀 n=126, threshold=0.03 |
9.4% | -56.8% | 0.44 | 0.16 | 11.5x | 210 | 54% |
| Donchian 채널 돌파 entryN=35, exitN=67 |
8.7% | -86.2% | 0.41 | 0.10 | 9.7x | 56 | 69% |
| Supertrend period=24, mult=4.7 |
3.3% | -84.5% | 0.27 | 0.04 | 2.4x | 94 | 54% |
| ADX / DI 방향성 period=46, threshold=6 |
2.9% | -70.7% | 0.25 | 0.04 | 2.2x | 310 | 54% |
| 볼린저 밴드 돌파 n=48, k=1.8 |
0.8% | -87.6% | 0.17 | 0.01 | 1.2x | 138 | 37% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.6 |
-0.1% | -72.0% | 0.11 | -0.00 | 1.0x | 68 | 22% |
| MACD fast=6, slow=52, signal=10 |
-5.9% | -97.1% | 0.03 | -0.06 | 0.2x | 593 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.8% | -94.3% | 0.02 | -0.06 | 0.2x | 497 | 52% |
| Buy and hold | 6.8% | -95.7% | 0.39 | 0.07 | 6.0x | 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 25-day average price crosses above the 220-day average
- Sell — Sell (to cash) when the 25-day average falls below the 220-day average