Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Global X Physical Silver backtest
10 trend-following strategies were compared on the full daily history of Global X Physical Silver. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.9%, MDD -39.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -61.4%).
Sharpe leader (same as main): Supertrend — CAGR 8.9%, MDD -39.2%, Sharpe 0.50, 46% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 22.2%p (CAGR 8.9%, MDD -39.2%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=3 |
8.9% | -39.2% | 0.50 | 0.23 | 4.5x | 163 | 46% |
| MACD fast=18, slow=40, signal=22 |
6.6% | -39.5% | 0.40 | 0.17 | 3.1x | 165 | 50% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
4.9% | -45.5% | 0.35 | 0.11 | 2.3x | 68 | 30% |
| EMA 크로스오버 fast=66, slow=171 |
5.7% | -59.6% | 0.35 | 0.10 | 2.7x | 32 | 56% |
| SMA 크로스오버 fast=44, slow=151 |
4.9% | -63.3% | 0.32 | 0.08 | 2.3x | 42 | 54% |
| Donchian 채널 돌파 entryN=12, exitN=47 |
4.1% | -69.9% | 0.28 | 0.06 | 2.0x | 79 | 78% |
| ADX / DI 방향성 period=10, threshold=35 |
2.9% | -32.7% | 0.27 | 0.09 | 1.7x | 90 | 14% |
| ROC 모멘텀 n=139, threshold=0.14 |
3.3% | -45.6% | 0.27 | 0.07 | 1.8x | 90 | 27% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=14, mult=1.7 |
2.5% | -52.8% | 0.23 | 0.05 | 1.6x | 179 | 32% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.8% | -71.2% | 0.03 | -0.02 | 0.7x | 285 | 50% |
| Buy and hold | 10.0% | -61.4% | 0.46 | 0.16 | 5.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)