Trend-Following Backtester · Guide · backtest 한국어
etf · DE
VanEck Rare Earth and Strategic Metals UCITS ETF Accum A USD backtest
10 trend-following strategies were compared on the full daily history of VanEck Rare Earth and Strategic Metals UCITS ETF Accum A USD. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.5%, MDD -10.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -73.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.5%, MDD -20.1%, Sharpe 0.84, 13% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.3%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 5.5%, MDD -10.1%, exposure 3%).
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=38, threshold=18 |
14.5% | -20.1% | 0.84 | 0.72 | 2.0x | 4 | 13% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
5.5% | -10.1% | 0.74 | 0.54 | 1.3x | 2 | 3% |
| ROC 모멘텀 n=102, threshold=0.24 |
11.1% | -20.1% | 0.66 | 0.55 | 1.7x | 10 | 15% |
| SMA 크로스오버 fast=41, slow=269 |
10.0% | -39.4% | 0.55 | 0.26 | 1.6x | 2 | 21% |
| EMA 크로스오버 fast=9, slow=219 |
7.4% | -27.3% | 0.43 | 0.27 | 1.4x | 6 | 23% |
| Donchian 채널 돌파 entryN=95, exitN=41 |
6.8% | -29.8% | 0.41 | 0.23 | 1.4x | 4 | 20% |
| Supertrend period=8, mult=2.1 |
7.5% | -47.6% | 0.41 | 0.16 | 1.4x | 72 | 47% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=21, mult=3.1 |
2.2% | -14.3% | 0.34 | 0.15 | 1.1x | 8 | 3% |
| MACD fast=4, slow=15, signal=17 |
3.5% | -44.8% | 0.26 | 0.08 | 1.2x | 128 | 48% |
| Parabolic SAR step=0.025, maxStep=0.22 |
2.2% | -57.4% | 0.21 | 0.04 | 1.1x | 120 | 48% |
| Buy and hold | -6.9% | -73.3% | -0.01 | -0.09 | 0.7x | 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, 38-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)