Trend-Following Backtester · Guide · backtest 한국어

equity · US

United Rentals, Inc. backtest

10 trend-following strategies were compared on the full daily history of United Rentals, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -59.3%).

Data 1997-12-18 ~ 2026-07-31daily bars 7,197 (28.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 16.1%, drawdown -93.7%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.0%, MDD -49.7%, Sharpe 0.58, 34% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 14.0%, MDD -59.3%, exposure 59%.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.1%p lower than buy and hold, while drawdown improves by 44.0%p (CAGR 14.0%, MDD -59.3%, exposure 59%).

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
Keltner 채널 돌파
emaPeriod=70, atrPeriod=24, mult=3.8
11.0%-49.7%0.580.2219.7x7334%
SMA 크로스오버
fast=17, slow=73
14.0%-59.3%0.570.2443.0x10559%
Donchian 채널 돌파
entryN=86, exitN=35
11.8%-43.8%0.570.2724.4x6341%
Supertrend
period=8, mult=4.2
13.8%-75.0%0.550.1840.0x12760%
EMA 크로스오버
fast=19, slow=40
13.3%-65.9%0.550.2035.5x13560%
ROC 모멘텀
n=44, threshold=-0.03
12.7%-70.3%0.520.1830.8x34965%
MACD
fast=11, slow=18, signal=10
11.5%-71.6%0.490.1622.4x56451%
볼린저 밴드 돌파
n=19, k=1.7
9.4%-58.7%0.480.1613.1x33841%
Parabolic SAR
step=0.015, maxStep=0.16
10.5%-75.0%0.470.1417.2x51555%
ADX / DI 방향성
period=19, threshold=11
8.9%-74.4%0.430.1211.6x47353%
Buy and hold16.1%-93.7%0.550.1771.6x1100%
1x 10x 1998 2002 2006 2010 2014 2018 2022 2026 SMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -23% -47% -70% -94% 1998 2002 2006 2010 2014 2018 2022 2026 Buy and holdSMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -49.7% (1998-07-20 → 2003-05-29), recovered after 2,811 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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