Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Global Silver and Metals Miners ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Global Silver and Metals Miners ETF. 9 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 8.2%, MDD -28.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.1%, drawdown -81.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.7%, MDD -35.3%, Sharpe 0.57, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.7%, MDD -41.1%, exposure 19%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 8.2%, MDD -28.5%, exposure 17%).
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=27, threshold=18 |
9.7% | -35.3% | 0.57 | 0.27 | 3.9x | 54 | 17% |
| Donchian 채널 돌파 entryN=145, exitN=32 |
9.7% | -41.1% | 0.56 | 0.23 | 3.9x | 14 | 19% |
| 볼린저 밴드 돌파 n=45, k=2.8 |
8.2% | -28.5% | 0.52 | 0.29 | 3.2x | 28 | 17% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=3.8 |
7.0% | -39.9% | 0.44 | 0.18 | 2.7x | 32 | 20% |
| ROC 모멘텀 n=124, threshold=0.14 |
7.7% | -45.6% | 0.43 | 0.17 | 3.0x | 118 | 28% |
| SMA 크로스오버 fast=15, slow=41 |
6.6% | -58.7% | 0.37 | 0.11 | 2.5x | 86 | 47% |
| EMA 크로스오버 fast=6, slow=172 |
5.0% | -60.6% | 0.31 | 0.08 | 2.0x | 51 | 44% |
| MACD fast=28, slow=53, signal=19 |
3.0% | -60.5% | 0.25 | 0.05 | 1.5x | 122 | 48% |
| Supertrend period=15, mult=4.2 |
2.4% | -69.4% | 0.22 | 0.03 | 1.4x | 75 | 45% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-0.0% | -67.5% | 0.14 | -0.00 | 1.0x | 306 | 47% |
| Buy and hold | 2.1% | -81.6% | 0.26 | 0.03 | 1.4x | 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, 27-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)