Trend-Following Backtester · Guide · backtest 한국어
equity · DE
INDUS Holding AG backtest
10 trend-following strategies were compared on the full daily history of INDUS Holding AG. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -30.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.1%, drawdown -77.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.5%, MDD -48.7%, Sharpe 0.23, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 0.8%, MDD -30.3%, exposure 5%).
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=108, exitN=51 |
2.5% | -48.7% | 0.23 | 0.05 | 2.0x | 42 | 41% |
| EMA 크로스오버 fast=26, slow=205 |
1.8% | -48.2% | 0.19 | 0.04 | 1.7x | 47 | 50% |
| ADX / DI 방향성 period=29, threshold=26 |
0.8% | -30.3% | 0.16 | 0.03 | 1.2x | 40 | 5% |
| MACD fast=29, slow=56, signal=18 |
1.2% | -70.0% | 0.16 | 0.02 | 1.4x | 213 | 49% |
| SMA 크로스오버 fast=13, slow=182 |
1.1% | -56.6% | 0.15 | 0.02 | 1.4x | 64 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.4% | -67.5% | 0.07 | -0.01 | 0.9x | 335 | 51% |
| Supertrend period=10, mult=3.8 |
-0.4% | -66.4% | 0.07 | -0.01 | 0.9x | 141 | 48% |
| 볼린저 밴드 돌파 n=52, k=2.4 |
-0.2% | -39.5% | 0.05 | -0.01 | 0.9x | 92 | 26% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=22, mult=2.1 |
-0.8% | -56.9% | 0.02 | -0.01 | 0.8x | 139 | 35% |
| ROC 모멘텀 n=123, threshold=0.01 |
-1.7% | -64.3% | 0.00 | -0.03 | 0.6x | 254 | 49% |
| Buy and hold | -0.1% | -77.7% | 0.14 | -0.00 | 1.0x | 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 108 days
- Sell — Sell when price breaks below the lowest low of the last 51 days