Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Endeavour Silver Corp. backtest
10 trend-following strategies were compared on the full daily history of Endeavour Silver Corp.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 10.7%, drawdown -98.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.0%, MDD -85.7%, Sharpe 0.50, 47% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=51, slow=281 |
15.0% | -85.7% | 0.50 | 0.18 | 66.1x | 31 | 47% |
| SMA 크로스오버 fast=31, slow=151 |
12.6% | -83.3% | 0.49 | 0.15 | 34.7x | 66 | 47% |
| Donchian 채널 돌파 entryN=111, exitN=74 |
7.1% | -93.7% | 0.42 | 0.08 | 7.9x | 40 | 44% |
| ROC 모멘텀 n=126, threshold=0.05 |
-1.3% | -99.5% | 0.30 | -0.01 | 0.7x | 294 | 45% |
| MACD fast=23, slow=56, signal=20 |
-9.4% | -99.7% | 0.29 | -0.09 | 0.1x | 286 | 51% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
-10.4% | -99.9% | 0.20 | -0.10 | 0.0x | 164 | 37% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-10.7% | -99.8% | 0.20 | -0.11 | 0.0x | 208 | 47% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=2.2 |
-17.2% | -100.0% | 0.10 | -0.17 | 0.0x | 168 | 33% |
| ADX / DI 방향성 period=41, threshold=11 |
-18.7% | -100.0% | 0.08 | -0.19 | 0.0x | 196 | 35% |
| Supertrend period=7, mult=4.5 |
-28.4% | -100.0% | 0.03 | -0.28 | 0.0x | 188 | 51% |
| Buy and hold | 10.7% | -98.2% | 0.56 | 0.11 | 20.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 281-day EMA
- Sell — Sell when the 51-day EMA falls below the 281-day EMA