Trend-Following Backtester · Guide · backtest 한국어
etf · CH
Swisscanto (CH) Silver ETF EA CHF backtest
10 trend-following strategies were compared on the full daily history of Swisscanto (CH) Silver ETF EA CHF. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.9%, MDD -52.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.8%, drawdown -74.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -13.7%, Sharpe 0.45, 4% exposure.
CAGR reference leader: Supertrend — CAGR 5.9%, MDD -52.5%, exposure 45%.
Return/drawdown alternative: Supertrend — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 60.5%p (CAGR 5.9%, MDD -52.5%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=3.3 |
2.5% | -13.7% | 0.45 | 0.18 | 1.6x | 10 | 4% |
| Supertrend period=24, mult=4.5 |
5.9% | -52.5% | 0.38 | 0.11 | 2.9x | 90 | 45% |
| SMA 크로스오버 fast=53, slow=254 |
5.2% | -58.2% | 0.33 | 0.09 | 2.6x | 21 | 49% |
| Donchian 채널 돌파 entryN=142, exitN=20 |
3.8% | -40.0% | 0.31 | 0.09 | 2.0x | 28 | 16% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=4 |
3.3% | -30.8% | 0.30 | 0.11 | 1.8x | 42 | 15% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.0% | -59.2% | 0.29 | 0.07 | 2.1x | 136 | 47% |
| ADX / DI 방향성 period=8, threshold=32 |
3.0% | -32.8% | 0.28 | 0.09 | 1.7x | 172 | 17% |
| EMA 크로스오버 fast=42, slow=161 |
3.5% | -66.3% | 0.27 | 0.05 | 1.9x | 32 | 50% |
| MACD fast=12, slow=41, signal=19 |
3.2% | -50.4% | 0.25 | 0.06 | 1.8x | 211 | 51% |
| ROC 모멘텀 n=146, threshold=0.06 |
1.2% | -66.5% | 0.16 | 0.02 | 1.2x | 138 | 38% |
| Buy and hold | 4.8% | -74.3% | 0.31 | 0.06 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 26-day middle average