Trend-Following Backtester · Guide · backtest 한국어
equity · US
NovoCure Limited backtest
10 trend-following strategies were compared on the full daily history of NovoCure Limited. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -23.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.6%, drawdown -95.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.9%, MDD -72.7%, Sharpe 0.57, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 2.6%, MDD -23.5%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=239 |
15.9% | -72.7% | 0.57 | 0.22 | 5.0x | 9 | 42% |
| 볼린저 밴드 돌파 n=61, k=2.6 |
12.8% | -56.2% | 0.54 | 0.23 | 3.7x | 20 | 24% |
| ROC 모멘텀 n=139, threshold=0.05 |
14.7% | -69.8% | 0.50 | 0.21 | 4.4x | 86 | 48% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=3.5 |
9.7% | -60.3% | 0.49 | 0.16 | 2.7x | 26 | 22% |
| SMA 크로스오버 fast=25, slow=214 |
8.0% | -87.3% | 0.38 | 0.09 | 2.3x | 19 | 47% |
| Donchian 채널 돌파 entryN=37, exitN=8 |
7.2% | -78.6% | 0.38 | 0.09 | 2.1x | 54 | 27% |
| ADX / DI 방향성 period=36, threshold=31 |
2.6% | -23.5% | 0.31 | 0.11 | 1.3x | 6 | 4% |
| Parabolic SAR step=0.05, maxStep=0.14 |
0.2% | -93.0% | 0.26 | 0.00 | 1.0x | 316 | 52% |
| MACD fast=10, slow=24, signal=10 |
-1.1% | -95.9% | 0.22 | -0.01 | 0.9x | 210 | 52% |
| Supertrend period=14, mult=2.6 |
-7.1% | -93.5% | 0.08 | -0.08 | 0.5x | 104 | 46% |
| Buy and hold | -3.6% | -95.6% | 0.31 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 239-day EMA
- Sell — Sell when the 40-day EMA falls below the 239-day EMA