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.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.3%, drawdown -78.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.3%, MDD -73.8%, Sharpe 0.47, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=16, threshold=-0.15 |
10.3% | -73.8% | 0.47 | 0.14 | 13.1x | 99 | 96% |
| SMA 크로스오버 fast=47, slow=75 |
5.2% | -46.4% | 0.33 | 0.11 | 3.8x | 89 | 60% |
| EMA 크로스오버 fast=54, slow=213 |
5.0% | -58.1% | 0.32 | 0.09 | 3.6x | 33 | 67% |
| Donchian 채널 돌파 entryN=77, exitN=72 |
3.5% | -55.9% | 0.27 | 0.06 | 2.5x | 47 | 62% |
| Supertrend period=18, mult=2.7 |
1.9% | -54.4% | 0.20 | 0.03 | 1.6x | 227 | 55% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=1.5 |
1.5% | -55.1% | 0.18 | 0.03 | 1.5x | 173 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.2% | -72.6% | 0.17 | 0.02 | 1.4x | 349 | 55% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
0.5% | -15.7% | 0.12 | 0.03 | 1.1x | 29 | 5% |
| MACD fast=19, slow=27, signal=10 |
-2.0% | -74.0% | 0.03 | -0.03 | 0.6x | 407 | 52% |
| ADX / DI 방향성 period=26, threshold=36 |
-0.2% | -11.5% | -0.08 | -0.02 | 0.9x | 13 | 2% |
| Buy and hold | 10.3% | -78.2% | 0.46 | 0.13 | 13.0x | 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 16-day return is greater than -15%
- Sell — Sell when the 16-day return drops to -15% or below