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; SMA 크로스오버 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 -32.4%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -1.1%, MDD -94.5%, Sharpe 0.20, 43% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 1.5%, MDD -35.9%, exposure 3%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 31.3%p higher than buy and hold, while drawdown improves by 5.5%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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=50 |
-1.1% | -94.5% | 0.20 | -0.01 | 0.8x | 155 | 43% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
1.1% | -18.8% | 0.20 | 0.06 | 1.2x | 2 | 0% |
| ADX / DI 방향성 period=40, threshold=26 |
1.5% | -35.9% | 0.18 | 0.04 | 1.3x | 4 | 3% |
| ROC 모멘텀 n=52, threshold=0.05 |
-3.6% | -94.0% | 0.18 | -0.04 | 0.5x | 220 | 32% |
| Supertrend period=26, mult=1.9 |
-6.0% | -97.8% | 0.18 | -0.06 | 0.4x | 298 | 41% |
| Donchian 채널 돌파 entryN=101, exitN=8 |
1.5% | -52.2% | 0.17 | 0.03 | 1.3x | 36 | 8% |
| 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 |
-13.0% | -99.2% | 0.17 | -0.13 | 0.1x | 186 | 52% |
| 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 |
-6.6% | -85.6% | -0.13 | -0.08 | 0.3x | 19 | 26% |
| Buy and hold | -32.4% | -100.0% | 0.07 | -0.32 | 0.0x | 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 46-day average price crosses above the 50-day average
- Sell — Sell (to cash) when the 46-day average falls below the 50-day average