Trend-Following Backtester · Guide · backtest 한국어
etf · US
Sprott Physical Gold and Silver Trust backtest
10 trend-following strategies were compared on the full daily history of Sprott Physical Gold and Silver Trust. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -64.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -55.2%, Sharpe 0.30, 45% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=194, exitN=99 |
4.0% | -55.2% | 0.30 | 0.07 | 4.9x | 34 | 45% |
| SMA 크로스오버 fast=24, slow=162 |
3.3% | -63.5% | 0.26 | 0.05 | 3.8x | 96 | 54% |
| EMA 크로스오버 fast=31, slow=182 |
3.0% | -73.2% | 0.25 | 0.04 | 3.3x | 78 | 55% |
| MACD fast=51, slow=56, signal=48 |
0.5% | -67.2% | 0.13 | 0.01 | 1.2x | 200 | 51% |
| Supertrend period=10, mult=2.9 |
0.2% | -83.2% | 0.12 | 0.00 | 1.1x | 264 | 51% |
| ADX / DI 방향성 period=21, threshold=30 |
0.4% | -34.0% | 0.09 | 0.01 | 1.2x | 36 | 4% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.8% | -74.7% | 0.06 | -0.01 | 0.7x | 302 | 49% |
| 볼린저 밴드 돌파 n=48, k=2.1 |
-0.6% | -83.8% | 0.05 | -0.01 | 0.8x | 182 | 30% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=2.8 |
-0.8% | -70.1% | 0.03 | -0.01 | 0.7x | 154 | 28% |
| ROC 모멘텀 n=135, threshold=0 |
-4.7% | -95.8% | -0.11 | -0.05 | 0.1x | 482 | 55% |
| Buy and hold | 5.5% | -64.1% | 0.33 | 0.09 | 8.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 194 days
- Sell — Sell when price breaks below the lowest low of the last 99 days