Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Novo Nordisk A/S Class B backtest
10 trend-following strategies were compared on the full daily history of Novo Nordisk A/S Class B. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -83.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.8%, MDD -94.0%, Sharpe 0.54, 82% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.6%, MDD -77.6%, exposure 72%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=39, exitN=114 |
3.8% | -94.0% | 0.54 | 0.04 | 2.6x | 33 | 82% |
| ROC 모멘텀 Hold-like · Exposure 98% n=5, threshold=-0.1 |
-0.1% | -93.2% | 0.54 | -0.00 | 1.0x | 137 | 98% |
| EMA 크로스오버 fast=48, slow=279 |
8.6% | -77.6% | 0.51 | 0.11 | 8.4x | 18 | 72% |
| SMA 크로스오버 fast=40, slow=135 |
5.9% | -66.8% | 0.50 | 0.09 | 4.4x | 57 | 64% |
| ADX / DI 방향성 period=37, threshold=27 |
0.5% | -54.9% | 0.11 | 0.01 | 1.1x | 10 | 2% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-32.9% | -100.0% | -0.10 | -0.33 | 0.0x | 206 | 50% |
| MACD fast=15, slow=48, signal=23 |
-42.0% | -100.0% | -0.11 | -0.42 | 0.0x | 314 | 52% |
| Supertrend period=9, mult=4.3 |
-42.5% | -100.0% | -0.14 | -0.43 | 0.0x | 146 | 58% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=0.5 |
-51.9% | -100.0% | -0.45 | -0.52 | 0.0x | 404 | 54% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
-50.9% | -100.0% | -0.46 | -0.51 | 0.0x | 224 | 45% |
| Buy and hold | 11.3% | -83.5% | 0.60 | 0.13 | 15.4x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 114 days