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.. 7 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 17.1%, MDD -32.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 16.5%, drawdown -96.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.1%, MDD -44.1%, Sharpe 1.02, 62% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.3%, MDD -44.5%, exposure 63%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 17.1%, 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 |
24.1% | -44.1% | 1.02 | 0.55 | 29.3x | 17 | 62% |
| SMA 크로스오버 fast=15, slow=169 |
25.3% | -44.5% | 1.01 | 0.57 | 33.9x | 31 | 63% |
| EMA 크로스오버 fast=24, slow=213 |
24.2% | -38.5% | 1.00 | 0.63 | 29.8x | 15 | 62% |
| Supertrend period=21, mult=3.2 |
23.0% | -43.0% | 0.91 | 0.53 | 25.4x | 82 | 63% |
| ROC 모멘텀 n=91, threshold=0.09 |
19.4% | -38.8% | 0.90 | 0.50 | 16.0x | 117 | 51% |
| 볼린저 밴드 돌파 n=37, k=2.6 |
13.4% | -19.0% | 0.88 | 0.70 | 7.1x | 46 | 28% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=2.2 |
17.1% | -32.5% | 0.87 | 0.53 | 11.9x | 64 | 38% |
| Parabolic SAR step=0.005, maxStep=0.1 |
18.2% | -60.6% | 0.74 | 0.30 | 13.7x | 146 | 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 |
8.9% | -82.6% | 0.43 | 0.11 | 3.8x | 210 | 51% |
| Buy and hold | 16.5% | -96.9% | 0.58 | 0.17 | 10.9x | 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