Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro Natural Gas Leveraged Daily Bull ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro Natural Gas Leveraged Daily Bull ETF. 10 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 2.6%, MDD -38.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -62.3%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -38.3%, Sharpe 0.24, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 65.0%p higher than buy and hold, while drawdown improves by 61.7%p (CAGR 2.6%, MDD -38.3%, exposure 2%).
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=13, k=2.8 |
2.6% | -38.3% | 0.24 | 0.07 | 1.6x | 12 | 2% |
| EMA 크로스오버 fast=30, slow=196 |
-1.7% | -74.1% | 0.17 | -0.02 | 0.7x | 10 | 10% |
| ADX / DI 방향성 period=15, threshold=29 |
-0.0% | -53.4% | 0.15 | -0.00 | 1.0x | 40 | 6% |
| Donchian 채널 돌파 entryN=110, exitN=20 |
-2.0% | -75.6% | 0.13 | -0.03 | 0.7x | 22 | 8% |
| SMA 크로스오버 fast=27, slow=161 |
-5.8% | -80.4% | 0.12 | -0.07 | 0.3x | 20 | 18% |
| ROC 모멘텀 n=147, threshold=0.1 |
-10.1% | -89.6% | 0.01 | -0.11 | 0.1x | 70 | 15% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=3.5 |
-8.1% | -89.8% | 0.01 | -0.09 | 0.2x | 36 | 11% |
| Supertrend period=11, mult=3.6 |
-23.9% | -99.7% | -0.17 | -0.24 | 0.0x | 112 | 34% |
| MACD fast=23, slow=50, signal=14 |
-40.1% | -100.0% | -0.28 | -0.40 | 0.0x | 174 | 60% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-32.1% | -100.0% | -0.29 | -0.32 | 0.0x | 174 | 38% |
| Buy and hold | -62.3% | -100.0% | -0.52 | -0.62 | 0.0x | 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 13-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 13-day middle average