Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Novonesis A/S Class B backtest
10 trend-following strategies were compared on the full daily history of Novonesis A/S Class B. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -52.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.9%, MDD -55.5%, Sharpe 0.34, 63% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=184 |
4.9% | -55.5% | 0.34 | 0.09 | 3.4x | 39 | 63% |
| SMA 크로스오버 fast=45, slow=200 |
4.6% | -53.2% | 0.32 | 0.09 | 3.2x | 41 | 60% |
| Donchian 채널 돌파 entryN=91, exitN=62 |
3.9% | -51.1% | 0.31 | 0.08 | 2.7x | 41 | 52% |
| Supertrend period=14, mult=4.3 |
3.1% | -51.5% | 0.25 | 0.06 | 2.2x | 99 | 62% |
| MACD fast=24, slow=46, signal=19 |
0.6% | -47.2% | 0.12 | 0.01 | 1.2x | 256 | 52% |
| ROC 모멘텀 n=40, threshold=-0.04 |
0.0% | -61.0% | 0.11 | 0.00 | 1.0x | 353 | 75% |
| 볼린저 밴드 돌파 n=52, k=1 |
0.3% | -51.4% | 0.10 | 0.01 | 1.1x | 193 | 50% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=13, mult=3 |
0.4% | -40.5% | 0.10 | 0.01 | 1.1x | 93 | 40% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.9% | -65.0% | 0.05 | -0.01 | 0.8x | 217 | 57% |
| ADX / DI 방향성 period=27, threshold=20 |
-0.7% | -41.9% | -0.01 | -0.02 | 0.8x | 109 | 21% |
| Buy and hold | 10.5% | -52.9% | 0.50 | 0.20 | 12.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 184-day EMA
- Sell — Sell when the 59-day EMA falls below the 184-day EMA