Trend-Following Backtester · Guide · backtest 한국어
equity · CA
First Majestic Silver Corp. backtest
10 trend-following strategies were compared on the full daily history of First Majestic Silver Corp.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 15.8%, drawdown -97.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -93.0%, Sharpe 0.48, 51% exposure.
CAGR reference leader: MACD — CAGR 25.3%, MDD -94.8%, exposure 52%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=66 |
11.4% | -93.0% | 0.48 | 0.12 | 25.6x | 170 | 51% |
| ADX / DI 방향성 period=25, threshold=35 |
5.2% | -23.2% | 0.47 | 0.22 | 4.5x | 10 | 2% |
| EMA 크로스오버 fast=99, slow=344 |
9.8% | -80.8% | 0.47 | 0.12 | 16.7x | 25 | 52% |
| MACD fast=40, slow=60, signal=24 |
25.3% | -94.8% | 0.43 | 0.27 | 881.4x | 187 | 52% |
| Donchian 채널 돌파 entryN=65, exitN=67 |
-2.7% | -98.9% | 0.33 | -0.03 | 0.4x | 66 | 55% |
| ROC 모멘텀 n=111, threshold=-0.09 |
-2.6% | -98.0% | 0.28 | -0.03 | 0.5x | 357 | 60% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.4% | -99.3% | 0.25 | -0.05 | 0.2x | 231 | 47% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
0.0% | -99.5% | 0.24 | 0.00 | 1.0x | 219 | 37% |
| Supertrend period=16, mult=4.9 |
-12.0% | -99.9% | 0.22 | -0.12 | 0.0x | 147 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=2.1 |
-2.9% | -99.0% | 0.22 | -0.03 | 0.4x | 179 | 32% |
| Buy and hold | 15.8% | -97.9% | 0.50 | 0.16 | 81.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 66-day average
- Sell — Sell (to cash) when the 55-day average falls below the 66-day average