Gold & Silver Compass · Silver (SI=F) Quantitative Model Historical Backtest Report

Sample Period: 2021-12-07 ~ 2026-07-02 · Horizon: 5Y · Strictly Walk-Forward Backtest (No Lookahead Bias)

🥇 Gold (GC=F) 🥈 Silver (SI=F)
🇨🇳 中文 🇺🇸 English
Effective Sample: 1148 Trading Days
Strategy Cumulative NAV
1.381x
Annual Compound Return (CAGR): +7.34%
Buy & Hold Benchmark (Silver)
2.697x
Benchmark CAGR: +24.33%
Strategy Max Drawdown
16.16%
Benchmark Max DD: 49.56% (Risk Mitigation 33.40%)
Annualized Sharpe & Calmar
0.71 / 0.45
Benchmark Sharpe: 0.75 · Calmar: 0.49
Monthly Composite Rank IC (T+20)
+0.0615
Factor IR: -0.34 · Bullish Win Rate: 60.9%
Cumulative NAV: Quant Timing Strategy vs Silver Buy & Hold Benchmark
Historical Dynamic Drawdown (Underwater Drawdown)
Monthly Rolling Rank IC Trend (T+20 Stability)
Factor Effectiveness & Information Ratio Matrix
Signal Classification Forward Return Breakdown (%)
Signal Classification & Forward Return Matrix
Signal Class Samples Ratio Avg Ret (T+5) Avg Ret (T+20) Avg Ret (T+60) T+20 Win Rate
Strong Bullish 9 0.8% +0.88% -2.83% +3.91% 33.3%
Bullish 229 20.0% +0.56% +2.92% +3.70% 62.0%
Neutral 734 63.9% +0.66% +2.30% +8.67% 33.2%
Bearish 176 15.3% +0.31% +0.91% +4.26% 40.3%
Strong Bearish 0 0.0% +0.00% +0.00% +0.00% N/A
Factor Effectiveness Matrix (T+20 Monthly)
Factor Name Weight Full Sample IC 60D Rolling IC Factor IR IC Win Rate Significance
Real Rate (10Y TIP) 25% +0.0395 -0.0186 -0.05 43.3% * (p<0.10)
US Dollar Index (DXY) 20% +0.0954 +0.0323 +0.09 54.5% *** (p<0.01)
Volatility Index (VIX) 15% -0.0120 +0.0973 +0.39 51.1% *** (p<0.01)
ETF Flow & Momentum 15% -0.0267 -0.0962 -0.71 22.1% *** (p<0.01)
Technicals (RSI/MACD) 15% -0.0614 -0.3586 -1.49 6.3% *** (p<0.01)
Gold/Silver Ratio 10% +0.3451 +0.3432 +1.25 75.6% *** (p<0.01)
Trading Date
Silver Close ($)
Model Score
 Predicted Signal
Confidence
 Position
T+5 Return
T+20 Return
Strategy NAV