Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro S&P 500 -2x Daily Bear ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro S&P 500 -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 ADX / DI 방향성 (CAGR -0.0%, MDD -4.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.3%, drawdown -99.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.0%, MDD -4.7%, Sharpe -0.01, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.3%p higher than buy and hold, while drawdown improves by 95.2%p (CAGR -0.0%, MDD -4.7%, 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=34, threshold=33 |
-0.0% | -4.7% | -0.01 | -0.01 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=13, k=3 |
-1.1% | -41.8% | -0.01 | -0.03 | 0.8x | 20 | 2% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=19, mult=4 |
-2.0% | -44.2% | -0.02 | -0.05 | 0.7x | 16 | 2% |
| ROC 모멘텀 n=7, threshold=0.12 |
-2.6% | -56.4% | -0.04 | -0.05 | 0.6x | 80 | 3% |
| Supertrend period=12, mult=4.5 |
-11.2% | -95.1% | -0.22 | -0.12 | 0.1x | 75 | 32% |
| EMA 크로스오버 fast=28, slow=36 |
-10.8% | -93.4% | -0.24 | -0.12 | 0.1x | 62 | 20% |
| Donchian 채널 돌파 entryN=39, exitN=20 |
-10.3% | -91.7% | -0.26 | -0.11 | 0.1x | 62 | 18% |
| SMA 크로스오버 fast=10, slow=129 |
-9.4% | -89.4% | -0.30 | -0.11 | 0.2x | 40 | 14% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-15.2% | -96.2% | -0.41 | -0.16 | 0.1x | 201 | 30% |
| MACD fast=18, slow=26, signal=15 |
-22.1% | -99.5% | -0.63 | -0.22 | 0.0x | 277 | 52% |
| Buy and hold | -27.3% | -99.9% | -0.63 | -0.27 | 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, 34-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)