Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Vizsla Silver Corp. backtest
10 trend-following strategies were compared on the full daily history of Vizsla Silver Corp.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 57.9%, drawdown -73.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 53.4%, MDD -73.1%, Sharpe 0.88, 68% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=73, slow=154 |
53.4% | -73.1% | 0.88 | 0.73 | 29.5x | 6 | 68% |
| SMA 크로스오버 fast=51, slow=80 |
44.8% | -73.1% | 0.81 | 0.61 | 18.7x | 28 | 62% |
| Donchian 채널 돌파 entryN=9, exitN=83 |
44.3% | -59.4% | 0.81 | 0.75 | 18.2x | 19 | 91% |
| ADX / DI 방향성 period=38, threshold=13 |
29.9% | -72.4% | 0.66 | 0.41 | 7.9x | 44 | 38% |
| Supertrend period=8, mult=3.6 |
27.9% | -72.2% | 0.65 | 0.39 | 7.0x | 47 | 56% |
| ROC 모멘텀 n=136, threshold=-0.03 |
26.2% | -73.1% | 0.64 | 0.36 | 6.3x | 55 | 69% |
| Parabolic SAR step=0.02, maxStep=0.14 |
22.9% | -72.7% | 0.59 | 0.31 | 5.1x | 147 | 51% |
| MACD fast=24, slow=53, signal=15 |
18.2% | -59.3% | 0.55 | 0.31 | 3.8x | 83 | 50% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
16.3% | -59.1% | 0.49 | 0.28 | 3.3x | 14 | 16% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=3.2 |
13.0% | -68.6% | 0.45 | 0.19 | 2.6x | 32 | 25% |
| Buy and hold | 57.9% | -73.1% | 0.91 | 0.79 | 37.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 73-day EMA crosses above the 154-day EMA
- Sell — Sell when the 73-day EMA falls below the 154-day EMA