Trend-Following Backtester · Guide · backtest 한국어
etf · US
Sprott Physical Silver Trust ETV backtest
10 trend-following strategies were compared on the full daily history of Sprott Physical Silver Trust ETV. 3 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 4.9%, MDD -28.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.0%, drawdown -79.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -28.9%, Sharpe 0.43, 9% exposure.
CAGR reference leader: Supertrend — CAGR 6.8%, MDD -53.6%, exposure 42%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 50.4%p (CAGR 4.9%, 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 |
4.9% | -28.9% | 0.43 | 0.17 | 2.1x | 46 | 9% |
| Supertrend period=16, mult=3.4 |
6.8% | -53.6% | 0.41 | 0.13 | 2.8x | 99 | 42% |
| 볼린저 밴드 돌파 n=29, k=1.7 |
5.2% | -41.2% | 0.36 | 0.13 | 2.2x | 109 | 31% |
| MACD fast=21, slow=34, signal=17 |
5.2% | -61.0% | 0.34 | 0.09 | 2.2x | 159 | 50% |
| ADX / DI 방향성 period=18, threshold=25 |
3.7% | -44.7% | 0.30 | 0.08 | 1.8x | 56 | 14% |
| 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 | 28% |
| SMA 크로스오버 fast=33, slow=156 |
2.8% | -51.7% | 0.24 | 0.05 | 1.5x | 32 | 44% |
| EMA 크로스오버 fast=11, slow=138 |
1.8% | -60.2% | 0.20 | 0.03 | 1.3x | 49 | 45% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-1.3% | -73.3% | 0.06 | -0.02 | 0.8x | 308 | 49% |
| Buy and hold | 5.0% | -79.4% | 0.32 | 0.06 | 2.2x | 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