Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Silver Miners ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Silver Miners ETF. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.9%, MDD -44.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.9%, drawdown -83.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -56.9%, Sharpe 0.45, 35% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 5.9%, MDD -44.9%, exposure 22%).
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=34, exitN=15 |
8.0% | -56.9% | 0.45 | 0.14 | 3.5x | 73 | 35% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
7.1% | -45.6% | 0.43 | 0.16 | 3.1x | 115 | 31% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=3.7 |
5.9% | -44.9% | 0.39 | 0.13 | 2.6x | 39 | 22% |
| SMA 크로스오버 fast=26, slow=40 |
6.6% | -64.3% | 0.37 | 0.10 | 2.9x | 103 | 47% |
| MACD fast=24, slow=54, signal=29 |
6.6% | -60.4% | 0.37 | 0.11 | 2.8x | 121 | 50% |
| ROC 모멘텀 n=95, threshold=0.17 |
4.9% | -55.5% | 0.34 | 0.09 | 2.2x | 78 | 22% |
| ADX / DI 방향성 period=36, threshold=13 |
4.6% | -55.2% | 0.32 | 0.08 | 2.1x | 84 | 25% |
| Supertrend period=22, mult=2.5 |
4.2% | -67.8% | 0.29 | 0.06 | 2.0x | 169 | 49% |
| EMA 크로스오버 fast=37, slow=80 |
3.7% | -67.2% | 0.27 | 0.05 | 1.8x | 43 | 45% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-0.7% | -78.1% | 0.11 | -0.01 | 0.9x | 482 | 50% |
| Buy and hold | 4.9% | -83.4% | 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 34 days
- Sell — Sell when price breaks below the lowest low of the last 15 days