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 16.4%, MDD -52.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 13.4%, drawdown -88.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.6%, MDD -56.9%, Sharpe 0.63, 46% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 18.2%, MDD -67.1%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 16.4%, 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 |
17.6% | -56.9% | 0.63 | 0.31 | 93.9x | 191 | 46% |
| MACD fast=14, slow=36, signal=14 |
17.3% | -60.9% | 0.62 | 0.28 | 87.4x | 331 | 48% |
| 볼린저 밴드 돌파 n=45, k=1 |
16.4% | -52.0% | 0.62 | 0.31 | 69.3x | 179 | 38% |
| SMA 크로스오버 fast=11, slow=163 |
17.2% | -55.2% | 0.62 | 0.31 | 85.5x | 53 | 49% |
| EMA 크로스오버 fast=51, slow=83 |
18.2% | -67.1% | 0.58 | 0.27 | 108.6x | 41 | 54% |
| Donchian 채널 돌파 entryN=70, exitN=64 |
17.4% | -59.0% | 0.57 | 0.29 | 88.0x | 44 | 50% |
| Supertrend period=19, mult=2.2 |
16.6% | -73.7% | 0.56 | 0.23 | 74.2x | 260 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
16.1% | -82.0% | 0.55 | 0.20 | 64.9x | 330 | 51% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=13, mult=1.5 |
12.5% | -52.8% | 0.54 | 0.24 | 26.8x | 207 | 33% |
| ADX / DI 방향성 period=18, threshold=23 |
13.8% | -54.7% | 0.51 | 0.25 | 37.5x | 164 | 32% |
| Buy and hold | 13.4% | -88.7% | 0.49 | 0.15 | 33.6x | 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