Trend-Following Backtester · Guide · backtest 한국어
equity · US
Target Corporation backtest
10 trend-following strategies were compared on the full daily history of Target Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -62.1%, Sharpe 0.44, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, slow=217 |
8.0% | -62.1% | 0.44 | 0.13 | 60.2x | 71 | 63% |
| EMA 크로스오버 fast=12, slow=208 |
7.0% | -57.7% | 0.41 | 0.12 | 36.7x | 137 | 64% |
| Donchian 채널 돌파 entryN=64, exitN=54 |
5.8% | -67.6% | 0.37 | 0.09 | 20.4x | 121 | 56% |
| ROC 모멘텀 n=147, threshold=-0.04 |
5.9% | -74.2% | 0.36 | 0.08 | 21.6x | 337 | 69% |
| Supertrend period=13, mult=2.8 |
5.5% | -69.7% | 0.35 | 0.08 | 17.5x | 449 | 55% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=1.9 |
4.3% | -50.5% | 0.32 | 0.08 | 9.3x | 331 | 42% |
| MACD fast=19, slow=52, signal=20 |
4.6% | -54.5% | 0.32 | 0.08 | 11.2x | 525 | 50% |
| ADX / DI 방향성 period=36, threshold=17 |
2.9% | -63.6% | 0.27 | 0.05 | 4.5x | 187 | 24% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.0% | -65.7% | 0.25 | 0.05 | 5.0x | 449 | 53% |
| 볼린저 밴드 돌파 n=36, k=1.3 |
1.3% | -75.9% | 0.16 | 0.02 | 2.0x | 479 | 44% |
| Buy and hold | 11.7% | -68.6% | 0.50 | 0.17 | 374.7x | 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 57-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 57-day average falls below the 217-day average