Trend-Following Backtester · Guide · backtest 한국어

equity · US

Charles River Laboratories International, Inc. backtest

10 trend-following strategies were compared on the full daily history of Charles River Laboratories International, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.

Data 2000-06-23 ~ 2026-07-31daily bars 6,564 (26.1 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 9.4%, drawdown -78.2%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.4%, MDD -73.8%, Sharpe 0.44, 96% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 96%
n=16, threshold=-0.15
9.4%-73.8%0.440.1310.6x9996%
SMA 크로스오버
fast=47, slow=75
4.4%-46.4%0.300.093.0x8960%
EMA 크로스오버
fast=54, slow=213
4.2%-58.1%0.290.072.9x3367%
Donchian 채널 돌파
entryN=77, exitN=72
2.7%-55.9%0.230.052.0x4762%
Supertrend
period=18, mult=2.7
1.0%-54.4%0.160.021.3x22755%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=17, mult=1.5
0.7%-55.1%0.140.011.2x17347%
Parabolic SAR
step=0.01, maxStep=0.12
0.4%-72.6%0.140.011.1x34955%
볼린저 밴드 돌파
n=19, k=3.2
0.1%-15.7%0.050.011.0x284%
MACD
fast=19, slow=27, signal=10
-2.4%-74.0%0.02-0.030.5x40652%
ADX / DI 방향성
period=26, threshold=36
-0.2%-11.5%-0.06-0.021.0x122%
Buy and hold9.4%-78.2%0.430.1210.5x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -78% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -73.8% (2021-09-24 → 2025-05-06), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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