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Sprott Physical Silver Trust ETV backtest

10 trend-following strategies were compared on the full daily history of Sprott Physical Silver Trust ETV. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.0%, MDD -28.9%).

Data 2010-10-29 ~ 2026-07-31daily bars 3,961 (15.8 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 4.0%, drawdown -79.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -28.9%, Sharpe 0.43, 9% exposure.

CAGR reference leader: Supertrend — CAGR 6.5%, MDD -53.6%, exposure 42%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR 5.0%, MDD -28.9%, exposure 9%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=98, exitN=4
5.0%-28.9%0.430.172.1x469%
Supertrend
period=16, mult=3.4
6.5%-53.6%0.400.122.7x9842%
볼린저 밴드 돌파
n=29, k=1.7
4.7%-41.2%0.330.112.1x10830%
ADX / DI 방향성
period=18, threshold=25
3.7%-44.7%0.300.081.8x5614%
MACD
fast=21, slow=34, signal=17
4.3%-61.0%0.300.071.9x15950%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=17, mult=4
3.4%-35.1%0.300.101.7x3413%
ROC 모멘텀
n=130, threshold=0.1
3.2%-44.4%0.260.071.6x9229%
SMA 크로스오버
fast=33, slow=156
2.8%-51.7%0.240.051.5x3244%
EMA 크로스오버
fast=11, slow=138
2.1%-60.2%0.210.041.4x4845%
Parabolic SAR
step=0.02, maxStep=0.16
-2.2%-73.3%0.02-0.030.7x30749%
Buy and hold4.0%-79.4%0.290.051.9x1100%
1x 2011 2013 2015 2017 2019 2021 2023 2025 SupertrendDonchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -20% -40% -60% -79% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdSupertrendDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -28.9% (2020-08-10 → 2022-12-05), recovered after 1,890 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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