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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%).

Data 1998-11-10 ~ 2026-08-31daily bars 7,112 (27.8 years)Costs 0.5%Venue XETRMonthly snapshot 2026-08-31

Results by strategy

5 of 10 beat buy and hold (CAGR 0.4%, drawdown -77.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -48.7%, Sharpe 0.25, 41% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.3%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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=108, exitN=51
2.8%-48.7%0.250.062.1x4341%
EMA 크로스오버
fast=26, slow=205
2.4%-48.4%0.220.051.9x4750%
MACD
fast=29, slow=56, signal=18
1.7%-70.0%0.180.021.6x21349%
SMA 크로스오버
fast=13, slow=182
1.6%-56.6%0.180.031.5x6550%
ADX / DI 방향성
period=29, threshold=26
0.8%-30.3%0.160.031.2x405%
Supertrend
period=10, mult=3.8
0.2%-66.4%0.100.001.0x14148%
Parabolic SAR
step=0.01, maxStep=0.14
-0.2%-67.5%0.09-0.000.9x33752%
볼린저 밴드 돌파
n=52, k=2.4
0.2%-39.5%0.080.011.1x9326%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=22, mult=2.1
-0.2%-56.9%0.06-0.000.9x13935%
ROC 모멘텀
n=123, threshold=0.01
-1.3%-64.3%0.03-0.020.7x25549%
Buy and hold0.4%-77.7%0.160.011.1x1100%
1x 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -39% -58% -78% 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -48.7% (2017-06-19 → 2025-06-20), prior peak not yet recovered.

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 carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore DE assetsAll asset reports

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