Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Neuren Pharmaceuticals Limited backtest
10 trend-following strategies were compared on the full daily history of Neuren Pharmaceuticals Limited. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.8%, MDD -71.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.9%, drawdown -99.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.7%, MDD -80.0%, Sharpe 0.61, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 19.8%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 13.8%, MDD -71.4%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=38, exitN=70 |
24.7% | -80.0% | 0.61 | 0.31 | 119.3x | 45 | 64% |
| SMA 크로스오버 fast=13, slow=156 |
17.9% | -80.1% | 0.54 | 0.22 | 35.3x | 43 | 50% |
| Supertrend period=9, mult=4.5 |
13.7% | -88.6% | 0.49 | 0.15 | 16.1x | 77 | 59% |
| EMA 크로스오버 fast=19, slow=165 |
13.8% | -71.4% | 0.49 | 0.19 | 16.5x | 41 | 47% |
| ROC 모멘텀 n=116, threshold=-0.04 |
10.9% | -83.5% | 0.45 | 0.13 | 9.5x | 189 | 55% |
| 볼린저 밴드 돌파 n=66, k=3 |
11.3% | -79.9% | 0.43 | 0.14 | 10.2x | 53 | 27% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=8, mult=3.2 |
10.8% | -78.9% | 0.41 | 0.14 | 9.1x | 60 | 16% |
| ADX / DI 방향성 period=20, threshold=15 |
3.2% | -93.7% | 0.38 | 0.03 | 2.0x | 232 | 44% |
| MACD fast=20, slow=36, signal=14 |
-4.7% | -98.8% | 0.26 | -0.05 | 0.4x | 302 | 49% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.9% | -96.1% | 0.23 | -0.03 | 0.5x | 228 | 44% |
| Buy and hold | 4.9% | -99.6% | 0.51 | 0.05 | 2.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 38 days
- Sell — Sell when price breaks below the lowest low of the last 70 days