Trend-Following Backtester · Guide · backtest 한국어

equity · US

McGrath RentCorp backtest

10 trend-following strategies were compared on the full daily history of McGrath RentCorp. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 1984-11-13 ~ 2026-07-31daily bars 10,508 (41.7 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.8%, drawdown -66.4%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.0%, MDD -66.4%, Sharpe 0.48, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=1, threshold=-0.15
12.0%-66.4%0.480.18113.7x7100%
Donchian 채널 돌파
entryN=22, exitN=52
7.7%-65.0%0.390.1222.4x11978%
SMA 크로스오버
fast=37, slow=152
4.9%-58.3%0.310.087.3x7963%
EMA 크로스오버
fast=58, slow=243
4.0%-64.0%0.280.065.2x4969%
ADX / DI 방향성
period=38, threshold=22
3.0%-43.3%0.280.073.5x4615%
Supertrend
period=27, mult=4.9
3.4%-67.9%0.260.054.0x10366%
볼린저 밴드 돌파
n=100, k=2.6
-0.1%-84.8%0.09-0.000.9x9233%
Keltner 채널 돌파
emaPeriod=66, atrPeriod=36, mult=3.9
-0.7%-65.5%0.04-0.010.8x8424%
Parabolic SAR
step=0.02, maxStep=0.38
-4.0%-95.4%0.00-0.040.2x84254%
MACD
fast=31, slow=58, signal=24
-4.7%-92.0%-0.04-0.050.1x37951%
Buy and hold12.8%-66.4%0.500.19152.8x1100%
1x 10x 100x 1985 1991 1997 2003 2009 2015 2021 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -33% -50% -66% 1985 1991 1997 2003 2009 2015 2021 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -66.4% (2007-10-09 → 2009-03-09), recovered after 2,170 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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