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 23.5%, MDD -41.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.2%, drawdown -92.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.5%, MDD -41.8%, Sharpe 0.69, 39% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 18.2%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 23.5%, MDD -41.8%, exposure 39%).
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 |
23.5% | -41.8% | 0.69 | 0.56 | 5.9x | 5 | 39% |
| Donchian 채널 돌파 entryN=15, exitN=14 |
22.4% | -47.8% | 0.65 | 0.47 | 5.4x | 60 | 48% |
| ROC 모멘텀 n=126, threshold=0.06 |
20.7% | -65.6% | 0.63 | 0.31 | 4.8x | 57 | 36% |
| Supertrend period=28, mult=3 |
17.7% | -60.7% | 0.57 | 0.29 | 3.9x | 54 | 50% |
| SMA 크로스오버 fast=76, slow=158 |
16.5% | -65.2% | 0.56 | 0.25 | 3.6x | 15 | 47% |
| Parabolic SAR step=0.045, maxStep=0.18 |
14.7% | -76.6% | 0.51 | 0.19 | 3.1x | 246 | 49% |
| MACD fast=12, slow=46, signal=13 |
14.3% | -68.5% | 0.51 | 0.21 | 3.1x | 110 | 50% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=1.1 |
13.4% | -53.6% | 0.50 | 0.25 | 2.9x | 86 | 38% |
| 볼린저 밴드 돌파 n=37, k=1.3 |
12.8% | -56.8% | 0.48 | 0.22 | 2.7x | 68 | 40% |
| ADX / DI 방향성 period=31, threshold=9 |
10.8% | -70.4% | 0.45 | 0.15 | 2.4x | 94 | 61% |
| Buy and hold | 5.2% | -92.3% | 0.45 | 0.06 | 1.5x | 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