Trend-Following Backtester · Guide · backtest 한국어
equity · US
Targa Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Targa Resources, Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.9%, MDD -32.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 17.0%, drawdown -96.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.6%, MDD -44.1%, Sharpe 1.03, 62% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.8%, MDD -44.5%, exposure 64%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 16.9%, MDD -32.5%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=75, exitN=70 |
24.6% | -44.1% | 1.03 | 0.56 | 31.8x | 17 | 62% |
| SMA 크로스오버 fast=15, slow=169 |
25.8% | -44.5% | 1.03 | 0.58 | 36.8x | 31 | 64% |
| EMA 크로스오버 fast=24, slow=213 |
24.7% | -38.5% | 1.02 | 0.64 | 32.4x | 15 | 62% |
| ROC 모멘텀 n=91, threshold=0.09 |
19.7% | -38.8% | 0.91 | 0.51 | 16.9x | 119 | 51% |
| Supertrend period=21, mult=3.2 |
22.7% | -43.0% | 0.90 | 0.53 | 24.9x | 83 | 63% |
| 볼린저 밴드 돌파 n=37, k=2.6 |
13.2% | -19.0% | 0.87 | 0.69 | 7.0x | 47 | 28% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=2.2 |
16.9% | -32.5% | 0.86 | 0.52 | 11.7x | 65 | 38% |
| Parabolic SAR step=0.005, maxStep=0.1 |
17.9% | -60.6% | 0.74 | 0.30 | 13.4x | 147 | 57% |
| ADX / DI 방향성 period=34, threshold=20 |
9.7% | -25.4% | 0.67 | 0.38 | 4.3x | 36 | 23% |
| MACD fast=11, slow=57, signal=16 |
8.7% | -82.6% | 0.43 | 0.11 | 3.7x | 211 | 51% |
| Buy and hold | 17.0% | -96.9% | 0.59 | 0.18 | 11.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 75 days
- Sell — Sell when price breaks below the lowest low of the last 70 days