Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Lynas Rare Earths Limited backtest
10 trend-following strategies were compared on the full daily history of Lynas Rare Earths Limited. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 23.3%, MDD -56.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 13.4%, drawdown -98.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 33.4%, MDD -71.7%, Sharpe 0.84, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.0%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 23.3%, MDD -56.6%, exposure 34%).
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=52, slow=103 |
33.4% | -71.7% | 0.84 | 0.47 | 2506.2x | 38 | 50% |
| SMA 크로스오버 fast=42, slow=150 |
31.5% | -78.9% | 0.80 | 0.40 | 1676.9x | 44 | 48% |
| ROC 모멘텀 n=142, threshold=0.1 |
26.0% | -69.4% | 0.72 | 0.37 | 528.8x | 162 | 46% |
| Donchian 채널 돌파 entryN=80, exitN=32 |
23.3% | -56.6% | 0.71 | 0.41 | 296.7x | 50 | 34% |
| 볼린저 밴드 돌파 n=37, k=2 |
17.0% | -88.0% | 0.58 | 0.19 | 71.6x | 134 | 31% |
| ADX / DI 방향성 period=22, threshold=30 |
11.4% | -52.0% | 0.55 | 0.22 | 18.8x | 40 | 10% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=22, mult=1.7 |
14.3% | -82.5% | 0.52 | 0.17 | 37.4x | 186 | 33% |
| Supertrend period=22, mult=4.9 |
11.7% | -89.1% | 0.46 | 0.13 | 20.1x | 108 | 44% |
| MACD fast=24, slow=80, signal=31 |
9.3% | -98.3% | 0.43 | 0.09 | 11.2x | 172 | 52% |
| Parabolic SAR step=0.035, maxStep=0.24 |
7.2% | -94.4% | 0.39 | 0.08 | 6.6x | 666 | 47% |
| Buy and hold | 13.4% | -98.8% | 0.54 | 0.14 | 30.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 103-day EMA
- Sell — Sell when the 52-day EMA falls below the 103-day EMA