Trend-Following Backtester · Guide · backtest 한국어
equity · CN
JL Mag Rare-Earth Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of JL Mag Rare-Earth Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 31.6%, MDD -50.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 31.1%, drawdown -68.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 31.6%, MDD -50.7%, Sharpe 0.86, 46% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 31.6%, MDD -50.7%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.32 |
31.6% | -50.7% | 0.86 | 0.62 | 8.6x | 94 | 46% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=8, mult=2.5 |
16.8% | -34.4% | 0.74 | 0.49 | 3.4x | 16 | 7% |
| ADX / DI 방향성 period=22, threshold=15 |
21.9% | -55.2% | 0.67 | 0.40 | 4.7x | 58 | 51% |
| Supertrend period=8, mult=4.6 |
18.8% | -57.5% | 0.60 | 0.33 | 3.9x | 22 | 68% |
| 볼린저 밴드 돌파 n=46, k=3.4 |
13.8% | -40.9% | 0.59 | 0.34 | 2.8x | 12 | 15% |
| Donchian 채널 돌파 entryN=100, exitN=11 |
13.6% | -40.3% | 0.59 | 0.34 | 2.7x | 14 | 15% |
| SMA 크로스오버 fast=50, slow=103 |
12.7% | -61.8% | 0.50 | 0.21 | 2.6x | 18 | 52% |
| MACD fast=12, slow=57, signal=19 |
12.4% | -53.2% | 0.50 | 0.23 | 2.5x | 88 | 49% |
| EMA 크로스오버 fast=8, slow=146 |
11.2% | -65.3% | 0.47 | 0.17 | 2.3x | 26 | 47% |
| ROC 모멘텀 n=120, threshold=0.12 |
9.4% | -57.2% | 0.43 | 0.16 | 2.0x | 44 | 38% |
| Buy and hold | 31.1% | -68.9% | 0.77 | 0.45 | 8.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots