Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bio-Rad Laboratories, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bio-Rad Laboratories, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.7%, MDD -49.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.0%, drawdown -76.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.9%, MDD -61.3%, Sharpe 0.57, 76% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 10.7%, MDD -49.3%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=19, exitN=57 |
12.9% | -61.3% | 0.57 | 0.21 | 284.8x | 149 | 76% |
| Supertrend period=28, mult=4.4 |
11.4% | -64.6% | 0.57 | 0.18 | 152.1x | 201 | 53% |
| SMA 크로스오버 fast=11, slow=91 |
10.7% | -49.3% | 0.54 | 0.22 | 110.7x | 179 | 56% |
| EMA 크로스오버 fast=13, slow=125 |
10.3% | -52.5% | 0.52 | 0.20 | 96.5x | 127 | 59% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
8.8% | -51.2% | 0.49 | 0.17 | 49.7x | 295 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2.3 |
7.5% | -65.7% | 0.45 | 0.11 | 28.5x | 227 | 41% |
| ROC 모멘텀 n=74, threshold=0.02 |
6.2% | -65.7% | 0.37 | 0.10 | 16.6x | 443 | 52% |
| MACD fast=18, slow=59, signal=18 |
5.0% | -83.4% | 0.32 | 0.06 | 9.6x | 465 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.5% | -82.8% | 0.26 | 0.04 | 5.0x | 373 | 51% |
| ADX / DI 방향성 period=34, threshold=18 |
2.9% | -59.6% | 0.25 | 0.05 | 3.7x | 194 | 23% |
| Buy and hold | 11.0% | -76.3% | 0.48 | 0.14 | 127.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 19 days
- Sell — Sell when price breaks below the lowest low of the last 57 days