Trend-Following Backtester · Guide · backtest 한국어
equity · US
Contango Silver & Gold Inc. backtest
10 trend-following strategies were compared on the full daily history of Contango Silver & Gold Inc.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.8%, MDD -23.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.8%, drawdown -89.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.8%, MDD -23.1%, Sharpe 0.42, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.2%, MDD -61.0%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 66.4%p (CAGR 5.8%, MDD -23.1%, exposure 2%).
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=21, threshold=40 |
5.8% | -23.1% | 0.42 | 0.25 | 2.4x | 6 | 2% |
| SMA 크로스오버 fast=53, slow=66 |
6.2% | -61.0% | 0.39 | 0.10 | 2.6x | 96 | 50% |
| Donchian 채널 돌파 entryN=74, exitN=60 |
1.0% | -77.5% | 0.30 | 0.01 | 1.2x | 28 | 47% |
| EMA 크로스오버 fast=73, slow=161 |
0.4% | -84.9% | 0.28 | 0.00 | 1.1x | 28 | 50% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
-2.6% | -71.1% | 0.06 | -0.04 | 0.7x | 34 | 8% |
| ROC 모멘텀 n=80, threshold=0.01 |
-16.2% | -97.3% | -0.00 | -0.17 | 0.1x | 248 | 46% |
| Parabolic SAR step=0.035, maxStep=0.28 |
-36.2% | -100.0% | -0.27 | -0.36 | 0.0x | 336 | 46% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=22, mult=4 |
-17.4% | -96.6% | -0.31 | -0.18 | 0.1x | 64 | 17% |
| MACD fast=19, slow=59, signal=22 |
-36.8% | -99.9% | -0.33 | -0.37 | 0.0x | 181 | 51% |
| Supertrend period=12, mult=5 |
-42.0% | -100.0% | -0.49 | -0.42 | 0.0x | 140 | 49% |
| Buy and hold | 2.8% | -89.5% | 0.49 | 0.03 | 1.5x | 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, 21-day) is ≥ 40
- Sell — Sell when direction flips or the trend weakens (ADX < 40)