Trend-Following Backtester · Guide · backtest 한국어
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VanEck Rare Earth and Strategic Metals ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Rare Earth and Strategic Metals ETF. 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 4.9%, MDD -10.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.8%, drawdown -92.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -10.4%, Sharpe 0.71, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.5%, MDD -36.8%, exposure 30%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 82.6%p (CAGR 4.9%, MDD -10.4%, 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=19, threshold=39 |
4.9% | -10.4% | 0.71 | 0.47 | 2.1x | 4 | 3% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
7.9% | -23.4% | 0.68 | 0.34 | 3.3x | 8 | 8% |
| ROC 모멘텀 n=99, threshold=0.14 |
10.1% | -27.0% | 0.63 | 0.38 | 4.6x | 52 | 21% |
| SMA 크로스오버 fast=20, slow=252 |
10.5% | -36.8% | 0.59 | 0.28 | 4.8x | 8 | 30% |
| EMA 크로스오버 fast=28, slow=208 |
9.3% | -36.2% | 0.54 | 0.26 | 4.1x | 10 | 28% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=9, mult=2.6 |
4.8% | -48.6% | 0.34 | 0.10 | 2.1x | 52 | 28% |
| Donchian 채널 돌파 entryN=117, exitN=76 |
4.4% | -44.2% | 0.31 | 0.10 | 2.0x | 16 | 30% |
| MACD fast=9, slow=29, signal=7 |
1.8% | -68.7% | 0.19 | 0.03 | 1.3x | 312 | 50% |
| Supertrend period=17, mult=2.1 |
0.1% | -69.7% | 0.12 | 0.00 | 1.0x | 230 | 46% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-0.6% | -71.4% | 0.09 | -0.01 | 0.9x | 260 | 47% |
| Buy and hold | -7.8% | -92.9% | -0.06 | -0.08 | 0.3x | 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, 19-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)