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.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
12.0% | -66.4% | 0.48 | 0.18 | 113.7x | 7 | 100% |
| Donchian 채널 돌파 entryN=22, exitN=52 |
7.7% | -65.0% | 0.39 | 0.12 | 22.4x | 119 | 78% |
| SMA 크로스오버 fast=37, slow=152 |
4.9% | -58.3% | 0.31 | 0.08 | 7.3x | 79 | 63% |
| EMA 크로스오버 fast=58, slow=243 |
4.0% | -64.0% | 0.28 | 0.06 | 5.2x | 49 | 69% |
| ADX / DI 방향성 period=38, threshold=22 |
3.0% | -43.3% | 0.28 | 0.07 | 3.5x | 46 | 15% |
| Supertrend period=27, mult=4.9 |
3.4% | -67.9% | 0.26 | 0.05 | 4.0x | 103 | 66% |
| 볼린저 밴드 돌파 n=100, k=2.6 |
-0.1% | -84.8% | 0.09 | -0.00 | 0.9x | 92 | 33% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=36, mult=3.9 |
-0.7% | -65.5% | 0.04 | -0.01 | 0.8x | 84 | 24% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-4.0% | -95.4% | 0.00 | -0.04 | 0.2x | 842 | 54% |
| MACD fast=31, slow=58, signal=24 |
-4.7% | -92.0% | -0.04 | -0.05 | 0.1x | 379 | 51% |
| Buy and hold | 12.8% | -66.4% | 0.50 | 0.19 | 152.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below