Trend-Following Backtester · Guide · backtest 한국어
etf · US
Amplify Junior Silver Miners ETF backtest
10 trend-following strategies were compared on the full daily history of Amplify Junior Silver Miners ETF. 8 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 7.5%, MDD -40.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.2%, drawdown -79.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.5%, MDD -40.4%, Sharpe 0.47, 15% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.0%, MDD -64.6%, exposure 31%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR 7.5%, MDD -40.4%, exposure 15%).
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=20, threshold=22 |
7.5% | -40.4% | 0.47 | 0.19 | 2.7x | 56 | 15% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=14, mult=2.9 |
7.1% | -51.8% | 0.45 | 0.14 | 2.6x | 46 | 16% |
| ROC 모멘텀 n=124, threshold=0.09 |
8.0% | -64.6% | 0.42 | 0.12 | 2.9x | 118 | 31% |
| 볼린저 밴드 돌파 n=55, k=3 |
5.5% | -50.1% | 0.39 | 0.11 | 2.1x | 16 | 13% |
| SMA 크로스오버 fast=14, slow=156 |
6.1% | -61.4% | 0.35 | 0.10 | 2.2x | 36 | 44% |
| Supertrend period=13, mult=4.3 |
5.8% | -62.4% | 0.34 | 0.09 | 2.1x | 64 | 46% |
| EMA 크로스오버 fast=23, slow=114 |
4.9% | -63.2% | 0.31 | 0.08 | 1.9x | 34 | 44% |
| Donchian 채널 돌파 entryN=100, exitN=64 |
3.6% | -60.6% | 0.27 | 0.06 | 1.6x | 18 | 36% |
| MACD fast=17, slow=70, signal=20 |
0.7% | -69.6% | 0.18 | 0.01 | 1.1x | 136 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.4% | -80.0% | 0.15 | -0.00 | 0.9x | 118 | 47% |
| Buy and hold | 1.2% | -79.5% | 0.26 | 0.02 | 1.2x | 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, 20-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)