Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Novartis AG backtest
10 trend-following strategies were compared on the full daily history of Novartis AG. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -48.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -48.4%, Sharpe 0.42, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
6.9% | -48.4% | 0.42 | 0.14 | 8.1x | 3 | 100% |
| Donchian 채널 돌파 entryN=51, exitN=62 |
4.3% | -36.3% | 0.35 | 0.12 | 3.7x | 58 | 63% |
| ADX / DI 방향성 period=38, threshold=26 |
1.0% | -17.3% | 0.26 | 0.06 | 1.4x | 14 | 4% |
| SMA 크로스오버 fast=59, slow=157 |
2.9% | -49.4% | 0.26 | 0.06 | 2.5x | 57 | 62% |
| EMA 크로스오버 fast=54, slow=142 |
2.7% | -50.0% | 0.25 | 0.05 | 2.3x | 55 | 62% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=20, mult=3.3 |
0.4% | -6.3% | 0.24 | 0.07 | 1.2x | 6 | 1% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
0.5% | -18.9% | 0.14 | 0.03 | 1.2x | 20 | 2% |
| Supertrend period=18, mult=3.7 |
0.3% | -74.4% | 0.09 | 0.00 | 1.1x | 176 | 56% |
| MACD fast=28, slow=68, signal=25 |
-2.6% | -76.6% | -0.13 | -0.03 | 0.4x | 266 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.8% | -80.0% | -0.13 | -0.03 | 0.4x | 290 | 54% |
| Buy and hold | 6.9% | -48.4% | 0.42 | 0.14 | 8.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -10%
- Sell — Sell when the 1-day return drops to -10% or below