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; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -83.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -93.2%, Sharpe 0.54, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: EMA 크로스오버 — CAGR 8.7%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=5, threshold=-0.1 |
0.2% | -93.2% | 0.54 | 0.00 | 1.1x | 135 | 98% |
| Donchian 채널 돌파 entryN=39, exitN=114 |
4.0% | -94.0% | 0.54 | 0.04 | 2.7x | 33 | 82% |
| EMA 크로스오버 fast=48, slow=279 |
8.7% | -77.6% | 0.51 | 0.11 | 8.4x | 18 | 72% |
| SMA 크로스오버 fast=40, slow=135 |
6.1% | -66.8% | 0.50 | 0.09 | 4.6x | 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 |
-33.0% | -100.0% | -0.10 | -0.33 | 0.0x | 205 | 51% |
| MACD fast=15, slow=48, signal=23 |
-42.1% | -100.0% | -0.11 | -0.42 | 0.0x | 313 | 52% |
| Supertrend period=9, mult=4.3 |
-42.5% | -100.0% | -0.14 | -0.43 | 0.0x | 145 | 58% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=0.5 |
-52.0% | -100.0% | -0.45 | -0.52 | 0.0x | 403 | 54% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
-51.0% | -100.0% | -0.46 | -0.51 | 0.0x | 223 | 45% |
| Buy and hold | 11.5% | -83.5% | 0.60 | 0.14 | 16.1x | 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 5-day return is greater than -10%
- Sell — Sell when the 5-day return drops to -10% or below