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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -48.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -41.1%, Sharpe 0.37, 64% exposure.
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=53, exitN=65 |
4.5% | -41.1% | 0.37 | 0.11 | 4.0x | 55 | 64% |
| EMA 크로스오버 fast=53, slow=145 |
3.1% | -50.5% | 0.27 | 0.06 | 2.6x | 53 | 62% |
| ADX / DI 방향성 period=38, threshold=26 |
1.0% | -17.3% | 0.26 | 0.06 | 1.4x | 14 | 4% |
| SMA 크로스오버 fast=52, slow=92 |
2.1% | -64.3% | 0.21 | 0.03 | 1.9x | 97 | 59% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=15, mult=3.1 |
0.7% | -11.7% | 0.17 | 0.06 | 1.2x | 20 | 2% |
| 볼린저 밴드 돌파 n=57, k=2.8 |
0.5% | -47.8% | 0.10 | 0.01 | 1.2x | 52 | 15% |
| Supertrend period=25, mult=5 |
-0.2% | -76.4% | 0.06 | -0.00 | 1.0x | 117 | 58% |
| ROC 모멘텀 n=124, threshold=0 |
-1.9% | -85.5% | -0.05 | -0.02 | 0.6x | 315 | 61% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.6% | -80.9% | -0.11 | -0.03 | 0.4x | 293 | 55% |
| MACD fast=19, slow=43, signal=17 |
-4.8% | -89.8% | -0.28 | -0.05 | 0.2x | 383 | 51% |
| Buy and hold | 7.1% | -48.4% | 0.43 | 0.15 | 8.6x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 65 days