Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Northern Rare Earth (Group) High-Tech Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Northern Rare Earth (Group) High-Tech Co., Ltd. Class A. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.3%, MDD -59.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 15.4%, drawdown -82.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.3%, MDD -59.6%, Sharpe 0.72, 47% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 21.3%, MDD -59.6%, exposure 47%).
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=59, slow=108 |
21.3% | -59.6% | 0.72 | 0.36 | 263.1x | 34 | 47% |
| Donchian 채널 돌파 entryN=62, exitN=34 |
18.4% | -61.8% | 0.67 | 0.30 | 130.6x | 60 | 37% |
| SMA 크로스오버 fast=25, slow=215 |
18.3% | -73.5% | 0.65 | 0.25 | 127.7x | 38 | 47% |
| ADX / DI 방향성 period=28, threshold=11 |
17.5% | -69.9% | 0.62 | 0.25 | 105.4x | 302 | 52% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=10, mult=4 |
12.1% | -41.1% | 0.62 | 0.29 | 27.0x | 38 | 13% |
| ROC 모멘텀 n=140, threshold=0 |
16.2% | -76.5% | 0.60 | 0.21 | 76.3x | 180 | 49% |
| 볼린저 밴드 돌파 n=36, k=1.2 |
14.7% | -76.2% | 0.59 | 0.19 | 52.9x | 200 | 37% |
| Supertrend period=8, mult=4.1 |
14.6% | -76.5% | 0.55 | 0.19 | 51.0x | 108 | 59% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.2% | -76.4% | 0.43 | 0.12 | 12.7x | 212 | 48% |
| MACD fast=23, slow=73, signal=12 |
6.9% | -74.5% | 0.37 | 0.09 | 6.9x | 314 | 48% |
| Buy and hold | 15.4% | -82.7% | 0.54 | 0.19 | 62.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 108-day EMA
- Sell — Sell when the 59-day EMA falls below the 108-day EMA