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%).

Data 1980-02-27 ~ 2026-07-31daily bars 11,701 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=19, exitN=57
12.9%-61.3%0.570.21284.8x14976%
Supertrend
period=28, mult=4.4
11.4%-64.6%0.570.18152.1x20153%
SMA 크로스오버
fast=11, slow=91
10.7%-49.3%0.540.22110.7x17956%
EMA 크로스오버
fast=13, slow=125
10.3%-52.5%0.520.2096.5x12759%
볼린저 밴드 돌파
n=53, k=1.1
8.8%-51.2%0.490.1749.7x29547%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=22, mult=2.3
7.5%-65.7%0.450.1128.5x22741%
ROC 모멘텀
n=74, threshold=0.02
6.2%-65.7%0.370.1016.6x44352%
MACD
fast=18, slow=59, signal=18
5.0%-83.4%0.320.069.6x46551%
Parabolic SAR
step=0.005, maxStep=0.28
3.5%-82.8%0.260.045.0x37351%
ADX / DI 방향성
period=34, threshold=18
2.9%-59.6%0.250.053.7x19423%
Buy and hold11.0%-76.3%0.480.14127.2x1100%
1x 10x 100x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -76% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -61.3% (2021-09-02 → 2026-06-23), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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