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 11.6%, MDD -37.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.1%, drawdown -94.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.5%, MDD -44.4%, Sharpe 0.84, 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 11.6%, MDD -37.0%, exposure 23%).
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 |
21.5% | -44.4% | 0.84 | 0.48 | 151.0x | 15 | 57% |
| ROC 모멘텀 n=139, threshold=0.1 |
17.7% | -51.9% | 0.75 | 0.34 | 67.0x | 134 | 48% |
| SMA 크로스오버 fast=59, slow=168 |
18.5% | -57.8% | 0.73 | 0.32 | 80.2x | 28 | 56% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=22, mult=2.6 |
15.2% | -48.9% | 0.72 | 0.31 | 38.0x | 97 | 33% |
| 볼린저 밴드 돌파 n=38, k=2.4 |
14.4% | -40.3% | 0.72 | 0.36 | 32.0x | 95 | 29% |
| Donchian 채널 돌파 entryN=79, exitN=10 |
11.6% | -37.0% | 0.66 | 0.31 | 16.8x | 87 | 23% |
| Supertrend period=29, mult=1.8 |
16.1% | -66.6% | 0.65 | 0.24 | 46.4x | 347 | 52% |
| Parabolic SAR step=0.01, maxStep=0.08 |
15.9% | -81.3% | 0.64 | 0.20 | 45.0x | 288 | 52% |
| ADX / DI 방향성 period=17, threshold=25 |
11.7% | -46.4% | 0.62 | 0.25 | 17.3x | 158 | 23% |
| MACD fast=12, slow=52, signal=8 |
13.2% | -68.8% | 0.56 | 0.19 | 24.5x | 424 | 52% |
| Buy and hold | 8.1% | -94.1% | 0.41 | 0.09 | 7.4x | 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