Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Forbo Holding AG backtest
10 trend-following strategies were compared on the full daily history of Forbo Holding AG. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.7%, MDD -43.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.2%, drawdown -81.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -54.9%, Sharpe 0.51, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 3.7%, MDD -43.8%, exposure 42%).
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=22, exitN=28 |
8.6% | -54.9% | 0.51 | 0.16 | 13.1x | 121 | 60% |
| Supertrend period=11, mult=3.2 |
6.4% | -55.2% | 0.41 | 0.12 | 7.0x | 151 | 56% |
| EMA 크로스오버 fast=29, slow=39 |
6.2% | -49.0% | 0.41 | 0.13 | 6.6x | 119 | 56% |
| SMA 크로스오버 fast=53, slow=82 |
5.9% | -62.0% | 0.39 | 0.09 | 6.0x | 103 | 56% |
| MACD fast=32, slow=62, signal=32 |
4.4% | -60.4% | 0.31 | 0.07 | 3.8x | 185 | 51% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
3.7% | -43.8% | 0.30 | 0.08 | 3.1x | 153 | 42% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=24, mult=2.1 |
3.1% | -64.0% | 0.27 | 0.05 | 2.6x | 121 | 41% |
| ADX / DI 방향성 period=27, threshold=14 |
2.0% | -64.6% | 0.20 | 0.03 | 1.8x | 278 | 34% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.9% | -59.7% | 0.19 | 0.03 | 1.8x | 259 | 55% |
| ROC 모멘텀 n=71, threshold=-0.01 |
0.4% | -83.2% | 0.12 | 0.00 | 1.1x | 339 | 59% |
| Buy and hold | 2.2% | -81.3% | 0.22 | 0.03 | 1.9x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 28 days