Trend-Following Backtester · Guide · backtest 한국어
equity · US
Americas Gold and Silver Corporation backtest
10 trend-following strategies were compared on the full daily history of Americas Gold and Silver Corporation. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -42.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.1%, drawdown -99.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -42.7%, Sharpe 0.44, 13% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 10.2%, MDD -76.7%, exposure 23%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.5%p higher than buy and hold, while drawdown improves by 56.8%p (CAGR 9.4%, MDD -42.7%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=3 |
9.4% | -42.7% | 0.44 | 0.22 | 7.8x | 42 | 13% |
| SMA 크로스오버 fast=15, slow=160 |
10.1% | -88.3% | 0.44 | 0.11 | 9.0x | 64 | 46% |
| ADX / DI 방향성 period=21, threshold=20 |
10.2% | -76.7% | 0.44 | 0.13 | 9.2x | 136 | 23% |
| EMA 크로스오버 fast=39, slow=196 |
9.2% | -76.9% | 0.42 | 0.12 | 7.3x | 30 | 40% |
| Donchian 채널 돌파 entryN=68, exitN=66 |
8.9% | -83.0% | 0.42 | 0.11 | 6.9x | 36 | 44% |
| ROC 모멘텀 n=121, threshold=0.05 |
8.1% | -76.6% | 0.40 | 0.11 | 5.9x | 206 | 43% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=17, mult=3.2 |
7.9% | -64.1% | 0.39 | 0.12 | 5.7x | 64 | 25% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.7% | -93.3% | 0.28 | 0.01 | 1.2x | 162 | 44% |
| Supertrend period=18, mult=3 |
-3.0% | -95.7% | 0.20 | -0.03 | 0.5x | 190 | 41% |
| MACD fast=11, slow=47, signal=10 |
-14.4% | -99.4% | 0.04 | -0.14 | 0.0x | 397 | 50% |
| Buy and hold | -7.1% | -99.4% | 0.34 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (3× volatility)
- Sell — Sell when the close falls back to the 38-day middle average