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 볼린저 밴드 돌파 (CAGR 9.0%, MDD -74.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.4%, drawdown -99.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.7%, MDD -83.1%, Sharpe 0.59, 64% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 16.5%p (CAGR 9.0%, MDD -74.2%, exposure 18%).
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=39, exitN=73 |
22.7% | -83.1% | 0.59 | 0.27 | 81.6x | 45 | 64% |
| SMA 크로스오버 fast=13, slow=155 |
17.2% | -79.9% | 0.53 | 0.22 | 30.1x | 47 | 49% |
| Supertrend period=9, mult=4.5 |
13.2% | -88.6% | 0.49 | 0.15 | 14.2x | 77 | 58% |
| EMA 크로스오버 fast=44, slow=83 |
11.4% | -77.0% | 0.45 | 0.15 | 10.3x | 41 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=3.4 |
10.2% | -77.1% | 0.40 | 0.13 | 8.1x | 59 | 16% |
| ROC 모멘텀 n=117, threshold=0.01 |
7.5% | -89.9% | 0.40 | 0.08 | 4.7x | 195 | 51% |
| 볼린저 밴드 돌파 n=35, k=3.4 |
9.0% | -74.2% | 0.38 | 0.12 | 6.3x | 59 | 18% |
| ADX / DI 방향성 period=19, threshold=16 |
-4.5% | -98.2% | 0.26 | -0.05 | 0.4x | 229 | 42% |
| MACD fast=21, slow=30, signal=16 |
-5.6% | -98.5% | 0.25 | -0.06 | 0.3x | 282 | 50% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.4% | -96.1% | 0.22 | -0.04 | 0.5x | 227 | 44% |
| Buy and hold | 4.4% | -99.6% | 0.50 | 0.04 | 2.5x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 73 days