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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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2001-01-08 ~ 2026-08-31daily bars 6,458 (25.6 years)Costs 0.5%Venue OMXCOPMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 11.3%, drawdown -83.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.8%, MDD -94.0%, Sharpe 0.54, 82% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 8.6%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=39, exitN=114
3.8%-94.0%0.540.042.6x3382%
ROC 모멘텀
Hold-like · Exposure 98%
n=5, threshold=-0.1
-0.1%-93.2%0.54-0.001.0x13798%
EMA 크로스오버
fast=48, slow=279
8.6%-77.6%0.510.118.4x1872%
SMA 크로스오버
fast=40, slow=135
5.9%-66.8%0.500.094.4x5764%
ADX / DI 방향성
period=37, threshold=27
0.5%-54.9%0.110.011.1x102%
Parabolic SAR
step=0.005, maxStep=0.34
-32.9%-100.0%-0.10-0.330.0x20650%
MACD
fast=15, slow=48, signal=23
-42.0%-100.0%-0.11-0.420.0x31452%
Supertrend
period=9, mult=4.3
-42.5%-100.0%-0.14-0.430.0x14658%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=12, mult=0.5
-51.9%-100.0%-0.45-0.520.0x40454%
볼린저 밴드 돌파
n=56, k=1.1
-50.9%-100.0%-0.46-0.510.0x22445%
Buy and hold11.3%-83.5%0.600.1315.4x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 EMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -23% -47% -70% -94% 2002 2006 2010 2014 2018 2022 2026 Buy and holdEMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -94.0% (2002-01-01 → 2003-08-04), recovered after 7,240 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore DK assetsAll asset reports

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