Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro Canadian Gold Miners -2x Daily Bear ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro Canadian Gold Miners -2x Daily Bear ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -2.0%, MDD -43.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -45.4%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -2.3%, MDD -61.3%, Sharpe -0.01, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR -2.0%, MDD -43.5%, exposure 3%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 43.1%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR -2.0%, MDD -43.5%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=18 |
-2.3% | -61.3% | -0.01 | -0.04 | 0.6x | 22 | 5% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=7, mult=3.8 |
-2.0% | -43.5% | -0.05 | -0.05 | 0.7x | 16 | 3% |
| SMA 크로스오버 fast=14, slow=88 |
-12.0% | -92.3% | -0.06 | -0.13 | 0.1x | 72 | 34% |
| EMA 크로스오버 fast=39, slow=171 |
-10.8% | -94.6% | -0.08 | -0.11 | 0.1x | 30 | 20% |
| ROC 모멘텀 n=68, threshold=0.26 |
-10.1% | -88.7% | -0.13 | -0.11 | 0.1x | 142 | 13% |
| 볼린저 밴드 돌파 n=39, k=2.9 |
-6.5% | -75.9% | -0.13 | -0.09 | 0.3x | 38 | 9% |
| Supertrend period=15, mult=4.6 |
-18.7% | -98.7% | -0.19 | -0.19 | 0.0x | 74 | 39% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-21.0% | -99.0% | -0.25 | -0.21 | 0.0x | 160 | 41% |
| Donchian 채널 돌파 entryN=52, exitN=38 |
-18.3% | -98.2% | -0.25 | -0.19 | 0.0x | 50 | 31% |
| MACD fast=12, slow=46, signal=16 |
-31.7% | -99.9% | -0.39 | -0.32 | 0.0x | 250 | 55% |
| Buy and hold | -45.4% | -100.0% | -0.41 | -0.45 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)