Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro NASDAQ-100 2x Daily Bull ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro NASDAQ-100 2x Daily Bull ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 33.9%, drawdown -64.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.9%, MDD -52.4%, Sharpe 0.80, 75% exposure.
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=37, slow=153 |
22.9% | -52.4% | 0.80 | 0.44 | 38.7x | 23 | 75% |
| Donchian 채널 돌파 entryN=77, exitN=77 |
20.6% | -40.2% | 0.79 | 0.51 | 27.9x | 23 | 73% |
| EMA 크로스오버 fast=9, slow=151 |
20.9% | -42.1% | 0.79 | 0.50 | 29.0x | 45 | 78% |
| Supertrend period=23, mult=4.3 |
18.2% | -48.5% | 0.77 | 0.38 | 19.4x | 84 | 65% |
| ROC 모멘텀 n=121, threshold=-0.04 |
20.3% | -51.2% | 0.75 | 0.40 | 26.7x | 95 | 80% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=2 |
11.9% | -46.3% | 0.60 | 0.26 | 7.4x | 114 | 57% |
| 볼린저 밴드 돌파 n=51, k=1 |
10.6% | -52.8% | 0.54 | 0.20 | 6.0x | 136 | 58% |
| Parabolic SAR step=0.005, maxStep=0.18 |
9.6% | -50.5% | 0.48 | 0.19 | 5.1x | 183 | 63% |
| MACD fast=16, slow=47, signal=19 |
7.3% | -44.3% | 0.41 | 0.16 | 3.5x | 217 | 53% |
| ADX / DI 방향성 period=14, threshold=13 |
3.1% | -52.2% | 0.25 | 0.06 | 1.7x | 391 | 52% |
| Buy and hold | 33.9% | -64.8% | 0.91 | 0.52 | 178.6x | 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 37-day average price crosses above the 153-day average
- Sell — Sell (to cash) when the 37-day average falls below the 153-day average