Trend-Following Backtester · Guide · backtest 한국어
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Sprott Physical Silver Trust ETV backtest
10 trend-following strategies were compared on the full daily history of Sprott Physical Silver Trust ETV. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.0%, MDD -28.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.0%, drawdown -79.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -28.9%, Sharpe 0.43, 9% exposure.
CAGR reference leader: Supertrend — CAGR 6.5%, MDD -53.6%, exposure 42%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR 5.0%, MDD -28.9%, exposure 9%).
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=98, exitN=4 |
5.0% | -28.9% | 0.43 | 0.17 | 2.1x | 46 | 9% |
| Supertrend period=16, mult=3.4 |
6.5% | -53.6% | 0.40 | 0.12 | 2.7x | 98 | 42% |
| 볼린저 밴드 돌파 n=29, k=1.7 |
4.7% | -41.2% | 0.33 | 0.11 | 2.1x | 108 | 30% |
| ADX / DI 방향성 period=18, threshold=25 |
3.7% | -44.7% | 0.30 | 0.08 | 1.8x | 56 | 14% |
| MACD fast=21, slow=34, signal=17 |
4.3% | -61.0% | 0.30 | 0.07 | 1.9x | 159 | 50% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=17, mult=4 |
3.4% | -35.1% | 0.30 | 0.10 | 1.7x | 34 | 13% |
| ROC 모멘텀 n=130, threshold=0.1 |
3.2% | -44.4% | 0.26 | 0.07 | 1.6x | 92 | 29% |
| SMA 크로스오버 fast=33, slow=156 |
2.8% | -51.7% | 0.24 | 0.05 | 1.5x | 32 | 44% |
| EMA 크로스오버 fast=11, slow=138 |
2.1% | -60.2% | 0.21 | 0.04 | 1.4x | 48 | 45% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.2% | -73.3% | 0.02 | -0.03 | 0.7x | 307 | 49% |
| Buy and hold | 4.0% | -79.4% | 0.29 | 0.05 | 1.9x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 4 days