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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -36.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.1%, drawdown -79.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -36.5%, Sharpe 0.60, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR 10.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=65, slow=220 |
10.2% | -36.5% | 0.60 | 0.28 | 3.8x | 17 | 57% |
| ADX / DI 방향성 period=34, threshold=23 |
4.1% | -14.9% | 0.60 | 0.28 | 1.7x | 18 | 9% |
| EMA 크로스오버 fast=66, slow=82 |
6.0% | -53.2% | 0.40 | 0.11 | 2.3x | 25 | 61% |
| ROC 모멘텀 n=194, threshold=-0.04 |
6.0% | -35.5% | 0.39 | 0.17 | 2.3x | 57 | 65% |
| Donchian 채널 돌파 entryN=53, exitN=58 |
5.9% | -56.1% | 0.37 | 0.11 | 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 |
3.8% | -44.6% | 0.29 | 0.08 | 1.7x | 39 | 56% |
| Parabolic SAR step=0.005, maxStep=0.1 |
3.5% | -49.5% | 0.27 | 0.07 | 1.6x | 119 | 55% |
| MACD fast=17, slow=30, signal=20 |
0.6% | -56.0% | 0.13 | 0.01 | 1.1x | 181 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=32, mult=3.2 |
0.6% | -39.3% | 0.11 | 0.01 | 1.1x | 39 | 25% |
| Buy and hold | 9.1% | -79.9% | 0.43 | 0.11 | 3.3x | 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 65-day average price crosses above the 220-day average
- Sell — Sell (to cash) when the 65-day average falls below the 220-day average