Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Silver Trust backtest
10 trend-following strategies were compared on the full daily history of iShares Silver Trust. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.5%, MDD -36.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -76.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.5%, MDD -36.1%, Sharpe 0.51, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 8.5%, MDD -36.1%, exposure 34%).
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=34, k=1.5 |
8.5% | -36.1% | 0.51 | 0.24 | 5.2x | 130 | 34% |
| SMA 크로스오버 fast=42, slow=128 |
6.7% | -70.8% | 0.39 | 0.10 | 3.7x | 50 | 54% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=22, mult=3.8 |
4.3% | -28.9% | 0.37 | 0.15 | 2.3x | 40 | 10% |
| Donchian 채널 돌파 entryN=31, exitN=72 |
5.8% | -76.2% | 0.35 | 0.08 | 3.2x | 46 | 71% |
| EMA 크로스오버 fast=23, slow=131 |
5.4% | -65.0% | 0.34 | 0.08 | 2.9x | 52 | 54% |
| Supertrend period=8, mult=2.4 |
4.9% | -50.6% | 0.33 | 0.10 | 2.6x | 230 | 49% |
| MACD fast=17, slow=24, signal=16 |
4.7% | -56.5% | 0.32 | 0.08 | 2.6x | 279 | 52% |
| Parabolic SAR step=0.02, maxStep=0.04 |
4.5% | -52.9% | 0.31 | 0.08 | 2.4x | 208 | 52% |
| ROC 모멘텀 n=115, threshold=-0.01 |
4.4% | -68.0% | 0.30 | 0.06 | 2.4x | 190 | 56% |
| ADX / DI 방향성 period=11, threshold=30 |
3.3% | -51.8% | 0.29 | 0.06 | 1.9x | 130 | 16% |
| Buy and hold | 6.8% | -76.3% | 0.37 | 0.09 | 3.8x | 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 34-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 34-day middle average