Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro Silver -2x Daily Bear ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro Silver -2x Daily Bear ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.1%, MDD -18.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.3%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.7%, MDD -20.9%, Sharpe 0.35, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 35.0%p higher than buy and hold, while drawdown improves by 79.1%p (CAGR 1.1%, MDD -18.8%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=40, threshold=26 |
3.7% | -20.9% | 0.35 | 0.18 | 1.8x | 3 | 2% |
| Donchian 채널 돌파 entryN=101, exitN=8 |
2.5% | -52.2% | 0.22 | 0.05 | 1.5x | 35 | 8% |
| SMA 크로스오버 fast=46, slow=50 |
0.7% | -94.5% | 0.21 | 0.01 | 1.1x | 155 | 43% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
1.1% | -18.8% | 0.20 | 0.06 | 1.2x | 2 | 0% |
| ROC 모멘텀 n=52, threshold=0.05 |
-1.5% | -94.0% | 0.19 | -0.02 | 0.8x | 219 | 32% |
| Supertrend period=26, mult=1.9 |
-6.0% | -97.8% | 0.18 | -0.06 | 0.4x | 298 | 41% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-11.0% | -99.2% | 0.17 | -0.11 | 0.1x | 294 | 44% |
| MACD fast=16, slow=44, signal=18 |
-13.1% | -99.2% | 0.17 | -0.13 | 0.1x | 186 | 53% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=3.4 |
-1.5% | -66.1% | 0.06 | -0.02 | 0.8x | 54 | 13% |
| EMA 크로스오버 fast=78, slow=185 |
-5.0% | -81.0% | -0.07 | -0.06 | 0.4x | 19 | 26% |
| Buy and hold | -31.3% | -100.0% | 0.08 | -0.31 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 40-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)