Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro S&P/TSX Capped Energy 2x Daily Bull ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro S&P/TSX Capped Energy 2x Daily Bull ETF. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -32.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.3%, drawdown -99.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -67.0%, Sharpe 0.46, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 1.2%, MDD -32.7%, exposure 4%).
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=32, slow=217 |
10.3% | -67.0% | 0.46 | 0.15 | 6.5x | 29 | 47% |
| 볼린저 밴드 돌파 n=68, k=1.2 |
9.0% | -58.8% | 0.43 | 0.15 | 5.2x | 83 | 40% |
| Donchian 채널 돌파 entryN=38, exitN=53 |
8.2% | -70.9% | 0.40 | 0.12 | 4.5x | 47 | 57% |
| EMA 크로스오버 fast=47, slow=169 |
6.9% | -68.6% | 0.37 | 0.10 | 3.6x | 29 | 44% |
| ROC 모멘텀 n=149, threshold=-0.03 |
5.2% | -89.3% | 0.33 | 0.06 | 2.6x | 139 | 56% |
| Supertrend period=17, mult=5 |
3.9% | -69.3% | 0.29 | 0.06 | 2.1x | 77 | 49% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=18, mult=1.1 |
3.3% | -79.0% | 0.26 | 0.04 | 1.8x | 187 | 43% |
| MACD fast=9, slow=29, signal=14 |
0.8% | -95.6% | 0.24 | 0.01 | 1.2x | 332 | 52% |
| Parabolic SAR step=0.065, maxStep=0.24 |
-0.6% | -90.1% | 0.20 | -0.01 | 0.9x | 710 | 51% |
| ADX / DI 방향성 period=13, threshold=38 |
1.2% | -32.7% | 0.18 | 0.04 | 1.3x | 30 | 4% |
| Buy and hold | -6.3% | -99.7% | 0.23 | -0.06 | 0.3x | 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 32-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 32-day average falls below the 217-day average