Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Rare Earth Nonferrous Metals Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China Rare Earth Nonferrous Metals Co Ltd Class A. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.8%, MDD -33.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.0%, drawdown -91.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.8%, MDD -33.4%, Sharpe 0.62, 13% exposure.
CAGR reference leader: Supertrend — CAGR 15.8%, MDD -58.0%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 58.2%p (CAGR 8.8%, MDD -33.4%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=36 |
8.8% | -33.4% | 0.62 | 0.26 | 9.0x | 26 | 13% |
| Supertrend period=15, mult=2.9 |
15.8% | -58.0% | 0.61 | 0.27 | 46.7x | 158 | 49% |
| 볼린저 밴드 돌파 n=38, k=1.6 |
13.5% | -54.5% | 0.57 | 0.25 | 27.3x | 136 | 37% |
| Parabolic SAR step=0.005, maxStep=0.08 |
13.9% | -71.4% | 0.56 | 0.19 | 30.2x | 172 | 50% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=0.8 |
12.9% | -62.8% | 0.55 | 0.21 | 24.1x | 260 | 42% |
| MACD fast=18, slow=46, signal=15 |
12.5% | -65.3% | 0.52 | 0.19 | 22.0x | 260 | 47% |
| SMA 크로스오버 fast=23, slow=51 |
11.4% | -67.6% | 0.49 | 0.17 | 16.8x | 122 | 43% |
| Donchian 채널 돌파 entryN=70, exitN=36 |
9.9% | -64.8% | 0.47 | 0.15 | 11.8x | 54 | 33% |
| EMA 크로스오버 fast=12, slow=71 |
9.6% | -73.9% | 0.44 | 0.13 | 11.0x | 100 | 47% |
| ROC 모멘텀 n=67, threshold=0.11 |
7.7% | -80.5% | 0.40 | 0.10 | 7.0x | 190 | 29% |
| Buy and hold | 6.0% | -91.6% | 0.36 | 0.07 | 4.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)