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; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.1%, MDD -49.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.4%, drawdown -76.3%).
Sharpe leader (same as main): Supertrend — CAGR 11.8%, MDD -64.6%, Sharpe 0.58, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.3%, MDD -61.3%, exposure 76%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 11.1%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.4 |
11.8% | -64.6% | 0.58 | 0.18 | 180.4x | 201 | 53% |
| Donchian 채널 돌파 entryN=19, exitN=57 |
13.3% | -61.3% | 0.58 | 0.22 | 337.9x | 149 | 76% |
| SMA 크로스오버 fast=11, slow=91 |
11.1% | -49.3% | 0.55 | 0.22 | 131.3x | 179 | 56% |
| EMA 크로스오버 fast=13, slow=125 |
10.7% | -52.5% | 0.53 | 0.20 | 114.5x | 127 | 59% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
9.2% | -51.2% | 0.50 | 0.18 | 58.9x | 295 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2.3 |
7.9% | -65.7% | 0.46 | 0.12 | 33.9x | 227 | 41% |
| ROC 모멘텀 n=74, threshold=0.02 |
6.6% | -65.7% | 0.39 | 0.10 | 19.7x | 443 | 52% |
| MACD fast=18, slow=59, signal=18 |
5.4% | -83.4% | 0.34 | 0.06 | 11.3x | 465 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.9% | -82.8% | 0.28 | 0.05 | 5.9x | 373 | 51% |
| ADX / DI 방향성 period=34, threshold=18 |
2.8% | -59.6% | 0.25 | 0.05 | 3.7x | 195 | 23% |
| Buy and hold | 11.4% | -76.3% | 0.49 | 0.15 | 150.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)