Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Avino Silver & Gold Mines Ltd. backtest
10 trend-following strategies were compared on the full daily history of Avino Silver & Gold Mines Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 3.0%, drawdown -95.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -78.0%, Sharpe 0.47, 41% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=200 |
10.8% | -78.0% | 0.47 | 0.14 | 22.5x | 40 | 41% |
| EMA 크로스오버 fast=45, slow=153 |
1.7% | -90.6% | 0.35 | 0.02 | 1.7x | 52 | 40% |
| Donchian 채널 돌파 entryN=110, exitN=54 |
3.1% | -93.6% | 0.34 | 0.03 | 2.5x | 38 | 32% |
| ADX / DI 방향성 period=37, threshold=26 |
0.4% | -38.5% | 0.10 | 0.01 | 1.1x | 12 | 3% |
| ROC 모멘텀 n=146, threshold=0.02 |
-16.0% | -100.0% | 0.08 | -0.16 | 0.0x | 346 | 42% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
-4.5% | -94.2% | 0.05 | -0.05 | 0.2x | 54 | 11% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-18.0% | -99.9% | 0.03 | -0.18 | 0.0x | 228 | 41% |
| Supertrend period=14, mult=5 |
-20.6% | -100.0% | 0.01 | -0.21 | 0.0x | 126 | 46% |
| MACD fast=19, slow=69, signal=22 |
-25.4% | -100.0% | 0.00 | -0.25 | 0.0x | 338 | 49% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.1 |
-15.7% | -100.0% | -0.08 | -0.16 | 0.0x | 110 | 22% |
| Buy and hold | 3.0% | -95.6% | 0.55 | 0.03 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 55-day average falls below the 200-day average