Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Pan American Silver Corp. backtest
10 trend-following strategies were compared on the full daily history of Pan American Silver Corp.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.4%, MDD -59.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -81.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.4%, MDD -59.3%, Sharpe 0.38, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 7.4%, MDD -59.3%, exposure 53%).
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=112, slow=314 |
7.4% | -59.3% | 0.38 | 0.12 | 8.6x | 17 | 53% |
| SMA 크로스오버 fast=42, slow=179 |
3.2% | -58.7% | 0.26 | 0.05 | 2.6x | 50 | 48% |
| Donchian 채널 돌파 entryN=122, exitN=64 |
3.4% | -63.3% | 0.26 | 0.05 | 2.7x | 38 | 35% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=11, mult=3.5 |
2.6% | -40.5% | 0.23 | 0.06 | 2.2x | 62 | 15% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
2.1% | -46.7% | 0.21 | 0.04 | 1.9x | 22 | 7% |
| ROC 모멘텀 n=131, threshold=0.13 |
0.9% | -67.2% | 0.18 | 0.01 | 1.3x | 234 | 35% |
| ADX / DI 방향성 period=26, threshold=17 |
-0.7% | -70.1% | 0.08 | -0.01 | 0.8x | 148 | 19% |
| MACD fast=17, slow=46, signal=15 |
-4.2% | -89.3% | 0.06 | -0.05 | 0.3x | 387 | 50% |
| Supertrend period=17, mult=4.4 |
-5.4% | -87.9% | 0.01 | -0.06 | 0.2x | 130 | 49% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-7.4% | -97.0% | -0.04 | -0.08 | 0.1x | 658 | 50% |
| Buy and hold | 5.4% | -81.5% | 0.36 | 0.07 | 4.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 112-day EMA crosses above the 314-day EMA
- Sell — Sell when the 112-day EMA falls below the 314-day EMA