Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Japan Physical Silver ETF backtest
10 trend-following strategies were compared on the full daily history of Japan Physical Silver ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.6%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -69.2%).
Sharpe leader (same as main): Supertrend — CAGR 8.6%, MDD -51.5%, Sharpe 0.49, 45% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.9%, MDD -56.2%, exposure 47%.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 17.7%p (CAGR 8.6%, MDD -51.5%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=3.2 |
8.6% | -51.5% | 0.49 | 0.17 | 3.8x | 138 | 45% |
| Donchian 채널 돌파 entryN=26, exitN=21 |
8.9% | -56.2% | 0.48 | 0.16 | 4.0x | 84 | 47% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=23, mult=3.2 |
6.2% | -26.4% | 0.47 | 0.23 | 2.6x | 52 | 10% |
| Parabolic SAR step=0.025, maxStep=0.22 |
7.7% | -58.7% | 0.45 | 0.13 | 3.3x | 328 | 49% |
| MACD fast=16, slow=38, signal=20 |
7.8% | -44.4% | 0.44 | 0.18 | 3.4x | 161 | 51% |
| ADX / DI 방향성 period=8, threshold=28 |
5.9% | -48.3% | 0.40 | 0.12 | 2.5x | 198 | 25% |
| 볼린저 밴드 돌파 n=18, k=3 |
3.8% | -28.9% | 0.38 | 0.13 | 1.8x | 32 | 8% |
| SMA 크로스오버 fast=58, slow=255 |
5.8% | -57.9% | 0.35 | 0.10 | 2.5x | 17 | 49% |
| ROC 모멘텀 n=40, threshold=0.14 |
3.9% | -48.4% | 0.30 | 0.08 | 1.9x | 88 | 14% |
| EMA 크로스오버 fast=46, slow=79 |
3.3% | -75.1% | 0.26 | 0.04 | 1.7x | 46 | 53% |
| Buy and hold | 10.9% | -69.2% | 0.49 | 0.16 | 5.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)