What can I do for my german shepherd?

I adopted Kalo, (my German shepherd - the best of all the large breed dogs) a month ago. Sence then I took him to the vet. He had worms. He got treated. The problem is he is still skinny. The vet said he could not find a medical reason. He eats like a horse, but not gaining wight. I feed him dog food with no fillers, just like my vet told me. I've seen onter german shepherds, they are heavier then him. Hes not extremely skinny, just thin. What can I do to make him heavier? He is very active.
I feed him Nutro Max.