Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Global Silver and Metals Miners ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Global Silver and Metals Miners ETF. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.1%, MDD -31.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.0%, drawdown -81.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -41.4%, Sharpe 0.50, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.9%, MDD -55.1%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 6.1%, MDD -31.8%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=110, exitN=36 |
8.6% | -41.4% | 0.50 | 0.21 | 3.3x | 18 | 23% |
| ROC 모멘텀 n=123, threshold=0.17 |
8.8% | -38.0% | 0.48 | 0.23 | 3.4x | 90 | 25% |
| ADX / DI 방향성 period=39, threshold=17 |
6.6% | -35.8% | 0.45 | 0.18 | 2.5x | 22 | 12% |
| SMA 크로스오버 fast=17, slow=43 |
8.9% | -55.1% | 0.44 | 0.16 | 3.4x | 80 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=27, mult=3.6 |
6.1% | -31.8% | 0.44 | 0.19 | 2.4x | 30 | 14% |
| EMA 크로스오버 fast=6, slow=172 |
5.3% | -60.6% | 0.33 | 0.09 | 2.1x | 50 | 44% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
5.0% | -51.8% | 0.32 | 0.10 | 2.0x | 70 | 36% |
| Supertrend period=23, mult=4.3 |
2.9% | -64.2% | 0.24 | 0.05 | 1.5x | 72 | 44% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-1.7% | -65.5% | 0.08 | -0.03 | 0.8x | 305 | 47% |
| MACD fast=17, slow=48, signal=12 |
-3.8% | -75.2% | 0.01 | -0.05 | 0.6x | 187 | 49% |
| Buy and hold | 1.0% | -81.6% | 0.23 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 110 days
- Sell — Sell when price breaks below the lowest low of the last 36 days