Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Silvercorp Metals Inc. backtest
10 trend-following strategies were compared on the full daily history of Silvercorp Metals Inc.. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 25.6%, MDD -77.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.6%, drawdown -99.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.6%, MDD -77.3%, Sharpe 0.68, 41% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 26.7%, MDD -80.4%, exposure 44%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 19.0%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 25.6%, MDD -77.3%, exposure 41%).
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=25, slow=208 |
25.6% | -77.3% | 0.68 | 0.33 | 946.9x | 31 | 41% |
| SMA 크로스오버 fast=55, slow=279 |
26.7% | -80.4% | 0.68 | 0.33 | 1235.2x | 25 | 44% |
| Parabolic SAR step=0.005, maxStep=0.2 |
14.8% | -97.3% | 0.51 | 0.15 | 62.6x | 217 | 41% |
| Donchian 채널 돌파 entryN=89, exitN=74 |
13.0% | -94.5% | 0.48 | 0.14 | 39.7x | 44 | 41% |
| 볼린저 밴드 돌파 n=36, k=1.4 |
9.0% | -99.9% | 0.42 | 0.09 | 13.4x | 187 | 33% |
| ROC 모멘텀 n=92, threshold=0.09 |
8.2% | -99.4% | 0.41 | 0.08 | 10.6x | 250 | 39% |
| ADX / DI 방향성 period=14, threshold=39 |
7.0% | -91.8% | 0.34 | 0.08 | 7.6x | 62 | 7% |
| MACD fast=20, slow=56, signal=29 |
-1.7% | -99.9% | 0.33 | -0.02 | 0.6x | 243 | 51% |
| Keltner 채널 돌파 emaPeriod=83, atrPeriod=28, mult=2.4 |
2.4% | -99.8% | 0.31 | 0.02 | 2.0x | 113 | 32% |
| Supertrend period=4, mult=4.8 |
-8.5% | -100.0% | 0.24 | -0.08 | 0.1x | 159 | 53% |
| Buy and hold | 6.6% | -99.6% | 0.55 | 0.07 | 6.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 208-day EMA
- Sell — Sell when the 25-day EMA falls below the 208-day EMA