Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro Crude Oil Inverse Leveraged Daily Bear ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro Crude Oil Inverse Leveraged Daily Bear ETF. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -10.3%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -94.9%, Sharpe 0.38, 28% exposure.
CAGR reference leader: MACD — CAGR 8.2%, MDD -98.6%, exposure 52%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=54, exitN=26 |
6.7% | -94.9% | 0.38 | 0.07 | 3.3x | 52 | 28% |
| SMA 크로스오버 fast=34, slow=64 |
5.4% | -93.6% | 0.38 | 0.06 | 2.7x | 66 | 39% |
| ROC 모멘텀 n=57, threshold=0.1 |
4.1% | -92.3% | 0.34 | 0.04 | 2.1x | 164 | 28% |
| Supertrend period=9, mult=3.4 |
3.8% | -95.4% | 0.33 | 0.04 | 2.0x | 122 | 37% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=22, mult=3.5 |
2.8% | -87.7% | 0.28 | 0.03 | 1.7x | 52 | 13% |
| ADX / DI 방향성 period=23, threshold=18 |
2.2% | -85.6% | 0.28 | 0.03 | 1.5x | 102 | 17% |
| EMA 크로스오버 fast=19, slow=35 |
-2.3% | -96.7% | 0.25 | -0.02 | 0.6x | 102 | 37% |
| MACD fast=18, slow=55, signal=18 |
8.2% | -98.6% | 0.24 | 0.08 | 4.4x | 188 | 52% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-2.2% | -99.0% | 0.22 | -0.02 | 0.7x | 422 | 42% |
| 볼린저 밴드 돌파 n=39, k=2 |
-0.9% | -97.2% | 0.22 | -0.01 | 0.8x | 94 | 23% |
| Buy and hold | -10.3% | -99.9% | 0.23 | -0.10 | 0.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 54 days
- Sell — Sell when price breaks below the lowest low of the last 26 days