Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Genmab A/S backtest
10 trend-following strategies were compared on the full daily history of Genmab A/S. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.1%, MDD -37.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.6%, drawdown -94.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.0%, MDD -44.4%, Sharpe 0.86, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 49.7%p (CAGR 12.1%, MDD -37.0%, exposure 24%).
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=89, slow=203 |
22.0% | -44.4% | 0.86 | 0.50 | 172.4x | 15 | 57% |
| ROC 모멘텀 n=139, threshold=0.1 |
17.7% | -51.9% | 0.74 | 0.34 | 67.0x | 134 | 47% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=22, mult=2.6 |
15.7% | -48.9% | 0.74 | 0.32 | 43.4x | 97 | 33% |
| 볼린저 밴드 돌파 n=38, k=2.4 |
14.9% | -40.3% | 0.74 | 0.37 | 36.6x | 95 | 29% |
| SMA 크로스오버 fast=59, slow=168 |
18.4% | -57.8% | 0.73 | 0.32 | 78.4x | 29 | 55% |
| Donchian 채널 돌파 entryN=79, exitN=10 |
12.1% | -37.0% | 0.69 | 0.33 | 19.1x | 87 | 24% |
| Supertrend period=29, mult=1.8 |
16.6% | -66.6% | 0.67 | 0.25 | 53.0x | 347 | 52% |
| Parabolic SAR step=0.01, maxStep=0.08 |
16.1% | -81.3% | 0.65 | 0.20 | 47.5x | 289 | 53% |
| ADX / DI 방향성 period=17, threshold=25 |
11.9% | -46.4% | 0.63 | 0.26 | 18.3x | 159 | 23% |
| MACD fast=12, slow=52, signal=8 |
13.4% | -68.8% | 0.56 | 0.19 | 25.8x | 425 | 52% |
| Buy and hold | 8.6% | -94.1% | 0.42 | 0.09 | 8.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 89-day EMA crosses above the 203-day EMA
- Sell — Sell when the 89-day EMA falls below the 203-day EMA