Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Physical Silver Shares ETF backtest
10 trend-following strategies were compared on the full daily history of abrdn Physical Silver Shares ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.4%, MDD -36.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -32.2%, Sharpe 0.51, 12% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.9%, MDD -45.3%, exposure 29%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 43.7%p (CAGR 7.4%, MDD -36.1%, exposure 35%).
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=148, exitN=9 |
6.9% | -32.2% | 0.51 | 0.21 | 3.1x | 34 | 12% |
| ROC 모멘텀 n=136, threshold=0.12 |
7.9% | -45.3% | 0.46 | 0.17 | 3.6x | 74 | 29% |
| 볼린저 밴드 돌파 n=35, k=1.4 |
7.4% | -36.1% | 0.45 | 0.20 | 3.4x | 116 | 35% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=13, mult=1.7 |
6.0% | -41.7% | 0.39 | 0.14 | 2.7x | 144 | 33% |
| EMA 크로스오버 fast=16, slow=167 |
6.6% | -62.4% | 0.38 | 0.11 | 3.0x | 44 | 50% |
| SMA 크로스오버 fast=40, slow=144 |
6.4% | -64.6% | 0.37 | 0.10 | 2.9x | 42 | 52% |
| Supertrend period=22, mult=3.8 |
5.7% | -49.6% | 0.37 | 0.11 | 2.6x | 108 | 42% |
| ADX / DI 방향성 period=39, threshold=15 |
4.9% | -44.6% | 0.35 | 0.11 | 2.3x | 56 | 18% |
| MACD fast=18, slow=57, signal=17 |
5.0% | -56.6% | 0.33 | 0.09 | 2.3x | 171 | 51% |
| Parabolic SAR step=0.02, maxStep=0.04 |
4.8% | -50.9% | 0.32 | 0.09 | 2.2x | 178 | 51% |
| Buy and hold | 8.4% | -75.9% | 0.42 | 0.11 | 3.9x | 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 148 days
- Sell — Sell when price breaks below the lowest low of the last 9 days