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%).

Data 1995-05-05 ~ 2026-07-31daily bars 7,961 (31.2 years)Costs 0.5%Venue SIXMonthly snapshot 2026-07-31

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=22, exitN=28
8.6%-54.9%0.510.1613.1x12160%
Supertrend
period=11, mult=3.2
6.4%-55.2%0.410.127.0x15156%
EMA 크로스오버
fast=29, slow=39
6.2%-49.0%0.410.136.6x11956%
SMA 크로스오버
fast=53, slow=82
5.9%-62.0%0.390.096.0x10356%
MACD
fast=32, slow=62, signal=32
4.4%-60.4%0.310.073.8x18551%
볼린저 밴드 돌파
n=58, k=1.4
3.7%-43.8%0.300.083.1x15342%
Keltner 채널 돌파
emaPeriod=73, atrPeriod=24, mult=2.1
3.1%-64.0%0.270.052.6x12141%
ADX / DI 방향성
period=27, threshold=14
2.0%-64.6%0.200.031.8x27834%
Parabolic SAR
step=0.005, maxStep=0.3
1.9%-59.7%0.190.031.8x25955%
ROC 모멘텀
n=71, threshold=-0.01
0.4%-83.2%0.120.001.1x33959%
Buy and hold2.2%-81.3%0.220.031.9x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -41% -61% -81% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -54.9% (2002-04-17 → 2005-06-28), recovered after 1,813 days.

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 selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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