Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro Natural Gas Inverse Leveraged Daily Bear ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro Natural Gas Inverse Leveraged Daily Bear ETF. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -4.1%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -94.1%, Sharpe 0.45, 49% exposure.
CAGR reference leader: Parabolic SAR — CAGR 11.2%, MDD -90.1%, exposure 50%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=93 |
6.8% | -94.1% | 0.45 | 0.07 | 3.4x | 55 | 49% |
| ROC 모멘텀 n=94, threshold=0.04 |
8.0% | -85.0% | 0.44 | 0.09 | 4.2x | 207 | 47% |
| Donchian 채널 돌파 entryN=12, exitN=56 |
6.8% | -97.9% | 0.44 | 0.07 | 3.4x | 83 | 75% |
| Parabolic SAR step=0.05, maxStep=0.1 |
11.2% | -90.1% | 0.39 | 0.12 | 7.2x | 460 | 50% |
| Supertrend period=11, mult=1.2 |
6.7% | -90.8% | 0.35 | 0.07 | 3.3x | 526 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.4 |
3.2% | -94.3% | 0.34 | 0.03 | 1.8x | 108 | 35% |
| ADX / DI 방향성 period=11, threshold=8 |
0.7% | -93.7% | 0.30 | 0.01 | 1.1x | 546 | 48% |
| EMA 크로스오버 fast=10, slow=53 |
-3.6% | -96.8% | 0.29 | -0.04 | 0.5x | 121 | 49% |
| MACD fast=18, slow=73, signal=6 |
-4.7% | -93.7% | 0.28 | -0.05 | 0.4x | 298 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=3.8 |
0.4% | -92.5% | 0.24 | 0.00 | 1.1x | 51 | 21% |
| Buy and hold | -4.1% | -99.8% | 0.43 | -0.04 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 47-day average falls below the 93-day average