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 13.9%, drawdown -98.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 33.3%, MDD -71.7%, Sharpe 0.83, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 19.4%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 |
33.3% | -71.7% | 0.83 | 0.46 | 2506.2x | 38 | 49% |
| SMA 크로스오버 fast=42, slow=150 |
31.4% | -78.9% | 0.80 | 0.40 | 1676.9x | 44 | 48% |
| ROC 모멘텀 n=142, threshold=0.1 |
25.6% | -69.4% | 0.72 | 0.37 | 498.0x | 167 | 46% |
| Donchian 채널 돌파 entryN=80, exitN=32 |
23.3% | -56.6% | 0.70 | 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 |
14.2% | -82.5% | 0.52 | 0.17 | 37.4x | 186 | 32% |
| Supertrend period=22, mult=4.9 |
11.6% | -89.1% | 0.46 | 0.13 | 20.1x | 108 | 44% |
| MACD fast=24, slow=80, signal=31 |
9.2% | -98.3% | 0.43 | 0.09 | 11.0x | 173 | 52% |
| Parabolic SAR step=0.035, maxStep=0.24 |
7.5% | -94.4% | 0.39 | 0.08 | 7.1x | 668 | 47% |
| Buy and hold | 13.9% | -98.8% | 0.54 | 0.14 | 34.6x | 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