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. 8 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 4.1%, MDD -35.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.3%, drawdown -81.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -56.4%, Sharpe 0.52, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 4.1%, MDD -35.1%, exposure 24%).
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=26, exitN=22 |
8.4% | -56.4% | 0.52 | 0.15 | 12.7x | 127 | 52% |
| SMA 크로스오버 fast=16, slow=59 |
7.8% | -51.4% | 0.47 | 0.15 | 10.5x | 141 | 55% |
| EMA 크로스오버 fast=28, slow=48 |
6.6% | -55.1% | 0.43 | 0.12 | 7.5x | 97 | 57% |
| Supertrend period=11, mult=3.2 |
6.5% | -55.2% | 0.41 | 0.12 | 7.3x | 151 | 57% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
4.1% | -35.1% | 0.40 | 0.12 | 3.6x | 67 | 24% |
| MACD fast=51, slow=57, signal=52 |
6.0% | -50.1% | 0.39 | 0.12 | 6.2x | 143 | 53% |
| ROC 모멘텀 n=75, threshold=-0.04 |
4.8% | -69.6% | 0.32 | 0.07 | 4.3x | 261 | 66% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=29, mult=2.1 |
3.8% | -61.3% | 0.31 | 0.06 | 3.2x | 117 | 41% |
| ADX / DI 방향성 period=30, threshold=40 |
0.4% | -4.6% | 0.26 | 0.09 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.9% | -59.7% | 0.19 | 0.03 | 1.8x | 260 | 55% |
| Buy and hold | 2.3% | -81.3% | 0.22 | 0.03 | 2.0x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 22 days