Trend-Following Backtester · Guide · backtest 한국어
etf · US
ETRACS Silver Shares Covered Call ETNs due April 21, 2033 backtest
10 trend-following strategies were compared on the full daily history of ETRACS Silver Shares Covered Call ETNs due April 21, 2033. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -4.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.0%, drawdown -85.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -5.3%, Sharpe 0.10, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 79.8%p (CAGR 0.1%, MDD -4.4%, exposure 0%).
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=19, threshold=38 |
0.2% | -5.3% | 0.10 | 0.04 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=16, threshold=0.12 |
0.1% | -4.4% | 0.09 | 0.03 | 1.0x | 10 | 0% |
| Donchian 채널 돌파 entryN=91, exitN=48 |
-1.6% | -29.9% | -0.10 | -0.05 | 0.8x | 14 | 17% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
-0.6% | -15.3% | -0.11 | -0.04 | 0.9x | 12 | 8% |
| SMA 크로스오버 fast=44, slow=197 |
-3.5% | -51.0% | -0.21 | -0.07 | 0.6x | 20 | 26% |
| EMA 크로스오버 fast=32, slow=208 |
-3.3% | -45.7% | -0.21 | -0.07 | 0.6x | 18 | 21% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=2.9 |
-2.0% | -23.5% | -0.38 | -0.08 | 0.8x | 24 | 7% |
| Supertrend period=23, mult=4.5 |
-8.0% | -69.1% | -0.60 | -0.12 | 0.3x | 60 | 37% |
| MACD fast=9, slow=40, signal=19 |
-12.0% | -82.9% | -0.84 | -0.14 | 0.2x | 197 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-12.1% | -81.9% | -0.89 | -0.15 | 0.2x | 184 | 47% |
| Buy and hold | -13.0% | -85.1% | -0.50 | -0.15 | 0.2x | 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, 19-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)