Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Rare Earth Resources And Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Rare Earth Resources And Technology Co., Ltd. Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.2%, MDD -52.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.4%, drawdown -88.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.4%, MDD -56.9%, Sharpe 0.62, 45% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 18.4%, MDD -67.1%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 16.2%, MDD -52.0%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=101, threshold=0.03 |
17.4% | -56.9% | 0.62 | 0.31 | 87.0x | 190 | 45% |
| 볼린저 밴드 돌파 n=45, k=1 |
16.2% | -52.0% | 0.62 | 0.31 | 65.5x | 178 | 38% |
| SMA 크로스오버 fast=11, slow=163 |
16.8% | -55.2% | 0.61 | 0.31 | 76.7x | 52 | 49% |
| MACD fast=14, slow=36, signal=14 |
16.4% | -60.9% | 0.60 | 0.27 | 69.0x | 330 | 48% |
| EMA 크로스오버 fast=51, slow=83 |
18.4% | -67.1% | 0.59 | 0.27 | 110.4x | 40 | 54% |
| Donchian 채널 돌파 entryN=70, exitN=64 |
17.4% | -59.0% | 0.57 | 0.30 | 88.0x | 44 | 50% |
| Supertrend period=19, mult=2.2 |
16.4% | -73.7% | 0.55 | 0.22 | 69.2x | 258 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
15.6% | -82.0% | 0.54 | 0.19 | 57.5x | 328 | 51% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=13, mult=1.5 |
12.2% | -52.8% | 0.53 | 0.23 | 24.8x | 206 | 33% |
| ADX / DI 방향성 period=18, threshold=23 |
14.4% | -54.7% | 0.53 | 0.26 | 42.2x | 162 | 32% |
| Buy and hold | 12.4% | -88.7% | 0.47 | 0.14 | 25.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 101-day return is greater than 3%
- Sell — Sell when the 101-day return drops to 3% or below