Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sonoco Products Company backtest
10 trend-following strategies were compared on the full daily history of Sonoco Products Company. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -62.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.7%, MDD -6.7%, Sharpe 0.37, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.4%, MDD -65.7%, exposure 82%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=27, threshold=52 |
0.7% | -6.7% | 0.37 | 0.10 | 1.4x | 2 | 1% |
| Donchian 채널 돌파 entryN=16, exitN=79 |
4.4% | -65.7% | 0.31 | 0.07 | 7.4x | 121 | 82% |
| EMA 크로스오버 fast=64, slow=87 |
3.4% | -58.0% | 0.27 | 0.06 | 4.7x | 87 | 62% |
| SMA 크로스오버 fast=19, slow=208 |
3.3% | -59.3% | 0.27 | 0.06 | 4.5x | 95 | 61% |
| 볼린저 밴드 돌파 n=64, k=2.7 |
1.5% | -50.2% | 0.19 | 0.03 | 2.0x | 94 | 23% |
| Supertrend period=9, mult=4.9 |
0.6% | -81.7% | 0.12 | 0.01 | 1.3x | 145 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=3.4 |
0.7% | -64.0% | 0.12 | 0.01 | 1.4x | 123 | 27% |
| ROC 모멘텀 n=148, threshold=0.01 |
-0.1% | -85.9% | 0.08 | -0.00 | 0.9x | 395 | 58% |
| MACD fast=31, slow=53, signal=28 |
-1.9% | -89.5% | -0.01 | -0.02 | 0.4x | 387 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.4% | -95.1% | -0.10 | -0.04 | 0.2x | 375 | 55% |
| Buy and hold | 8.1% | -62.2% | 0.42 | 0.13 | 36.4x | 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, 27-day) is ≥ 52
- Sell — Sell when direction flips or the trend weakens (ADX < 52)