Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Telix Pharmaceuticals Limited backtest
10 trend-following strategies were compared on the full daily history of Telix Pharmaceuticals Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 53.2%, MDD -43.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 40.5%, drawdown -72.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 53.2%, MDD -43.6%, Sharpe 1.13, 74% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 53.2%, MDD -43.6%, exposure 74%).
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=26, exitN=70 |
53.2% | -43.6% | 1.13 | 1.22 | 42.6x | 13 | 74% |
| ROC 모멘텀 n=113, threshold=-0.02 |
39.7% | -58.1% | 0.96 | 0.68 | 18.9x | 49 | 68% |
| SMA 크로스오버 fast=33, slow=138 |
36.9% | -64.7% | 0.91 | 0.57 | 15.8x | 11 | 68% |
| MACD fast=16, slow=23, signal=4 |
29.9% | -73.9% | 0.85 | 0.40 | 10.0x | 192 | 47% |
| EMA 크로스오버 fast=17, slow=99 |
30.8% | -54.3% | 0.81 | 0.57 | 10.6x | 29 | 69% |
| Supertrend period=22, mult=5 |
29.1% | -40.1% | 0.80 | 0.73 | 9.5x | 27 | 64% |
| Parabolic SAR step=0.015, maxStep=0.16 |
26.2% | -63.1% | 0.77 | 0.41 | 7.7x | 144 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
21.4% | -34.9% | 0.72 | 0.61 | 5.5x | 41 | 44% |
| ADX / DI 방향성 period=8, threshold=17 |
21.4% | -71.6% | 0.67 | 0.30 | 5.5x | 234 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=1 |
19.7% | -43.9% | 0.66 | 0.45 | 4.9x | 92 | 51% |
| Buy and hold | 40.5% | -72.3% | 0.88 | 0.56 | 19.8x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 70 days