Trend-Following Backtester · Guide · backtest 한국어
equity · US
Target Hospitality Corp. backtest
10 trend-following strategies were compared on the full daily history of Target Hospitality Corp.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 26.1%, MDD -41.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.7%, drawdown -92.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 26.1%, MDD -41.8%, Sharpe 0.74, 40% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 26.1%, MDD -41.8%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=85, slow=232 |
26.1% | -41.8% | 0.74 | 0.62 | 7.1x | 5 | 40% |
| ROC 모멘텀 n=126, threshold=0.06 |
23.3% | -65.6% | 0.67 | 0.35 | 5.9x | 57 | 37% |
| Donchian 채널 돌파 entryN=15, exitN=14 |
22.4% | -47.8% | 0.65 | 0.47 | 5.6x | 61 | 48% |
| SMA 크로스오버 fast=76, slow=158 |
19.1% | -65.2% | 0.60 | 0.29 | 4.4x | 15 | 47% |
| Supertrend period=28, mult=3 |
18.2% | -60.7% | 0.58 | 0.30 | 4.1x | 55 | 50% |
| MACD fast=12, slow=46, signal=13 |
15.6% | -68.5% | 0.53 | 0.23 | 3.4x | 111 | 50% |
| Parabolic SAR step=0.045, maxStep=0.18 |
13.6% | -76.6% | 0.49 | 0.18 | 2.9x | 251 | 49% |
| 볼린저 밴드 돌파 n=37, k=1.3 |
12.2% | -56.8% | 0.47 | 0.22 | 2.7x | 69 | 40% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=1.1 |
11.8% | -53.6% | 0.46 | 0.22 | 2.6x | 89 | 38% |
| ADX / DI 방향성 period=31, threshold=9 |
10.6% | -70.4% | 0.45 | 0.15 | 2.3x | 95 | 60% |
| Buy and hold | 7.7% | -92.3% | 0.48 | 0.08 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 85-day EMA crosses above the 232-day EMA
- Sell — Sell when the 85-day EMA falls below the 232-day EMA