Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro Silver 2X Daily Bull ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro Silver 2X Daily Bull ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.2%, MDD -60.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.0%, drawdown -98.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.3%, MDD -65.8%, Sharpe 0.55, 35% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.3%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 10.2%, MDD -60.6%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=0.9 |
14.3% | -65.8% | 0.55 | 0.22 | 9.2x | 118 | 35% |
| ADX / DI 방향성 period=17, threshold=22 |
10.2% | -60.6% | 0.48 | 0.17 | 5.1x | 82 | 17% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=12, mult=3.8 |
9.2% | -60.6% | 0.47 | 0.15 | 4.4x | 38 | 12% |
| SMA 크로스오버 fast=33, slow=163 |
6.6% | -84.8% | 0.40 | 0.08 | 2.9x | 32 | 38% |
| ROC 모멘텀 n=117, threshold=0.14 |
6.4% | -78.2% | 0.38 | 0.08 | 2.8x | 102 | 30% |
| Supertrend period=14, mult=3.5 |
5.7% | -82.3% | 0.37 | 0.07 | 2.5x | 122 | 42% |
| MACD fast=14, slow=58, signal=19 |
4.0% | -80.5% | 0.34 | 0.05 | 1.9x | 177 | 52% |
| EMA 크로스오버 fast=48, slow=130 |
3.4% | -89.9% | 0.33 | 0.04 | 1.8x | 28 | 38% |
| Donchian 채널 돌파 entryN=101, exitN=17 |
4.3% | -80.8% | 0.32 | 0.05 | 2.0x | 36 | 16% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-2.2% | -83.2% | 0.20 | -0.03 | 0.7x | 266 | 46% |
| Buy and hold | -7.0% | -98.6% | 0.23 | -0.07 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (0.9× volatility)
- Sell — Sell when the close falls back to the 40-day middle average