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 13.8%, MDD -59.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.9%, drawdown -93.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.8%, MDD -49.7%, Sharpe 0.57, 35% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.8%, 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 13.8%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=24, mult=3.8 |
10.8% | -49.7% | 0.57 | 0.22 | 19.1x | 74 | 35% |
| SMA 크로스오버 fast=17, slow=73 |
13.8% | -59.3% | 0.56 | 0.23 | 41.4x | 105 | 59% |
| Donchian 채널 돌파 entryN=86, exitN=35 |
11.6% | -43.8% | 0.56 | 0.27 | 23.4x | 63 | 41% |
| Supertrend period=8, mult=4.2 |
13.6% | -75.0% | 0.55 | 0.18 | 38.4x | 127 | 60% |
| EMA 크로스오버 fast=19, slow=40 |
13.1% | -65.9% | 0.54 | 0.20 | 34.1x | 135 | 60% |
| ROC 모멘텀 n=44, threshold=-0.03 |
12.5% | -70.3% | 0.52 | 0.18 | 29.5x | 350 | 65% |
| MACD fast=11, slow=18, signal=10 |
11.4% | -71.6% | 0.49 | 0.16 | 22.2x | 566 | 51% |
| 볼린저 밴드 돌파 n=19, k=1.7 |
9.2% | -58.7% | 0.47 | 0.16 | 12.6x | 340 | 41% |
| Parabolic SAR step=0.015, maxStep=0.16 |
10.3% | -75.0% | 0.46 | 0.14 | 16.7x | 516 | 55% |
| ADX / DI 방향성 period=19, threshold=11 |
9.0% | -74.4% | 0.43 | 0.12 | 11.7x | 474 | 53% |
| Buy and hold | 15.9% | -93.7% | 0.55 | 0.17 | 68.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 70-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 70-day average