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; Keltner 채널 돌파 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): Keltner 채널 돌파 — CAGR -1.4%, MDD -41.5%, Sharpe -0.00, 2% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.0%, MDD -4.7%, exposure 0%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.9%p higher than buy and hold, while drawdown improves by 58.3%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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=25, mult=3.8 |
-1.4% | -41.5% | -0.00 | -0.03 | 0.8x | 16 | 2% |
| ADX / DI 방향성 period=34, threshold=33 |
-0.0% | -4.7% | -0.01 | -0.01 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
-3.3% | -65.8% | -0.03 | -0.05 | 0.5x | 18 | 6% |
| ROC 모멘텀 n=29, threshold=0.07 |
-8.5% | -89.1% | -0.20 | -0.10 | 0.2x | 170 | 12% |
| Supertrend period=12, mult=4.4 |
-10.7% | -94.5% | -0.20 | -0.11 | 0.1x | 76 | 32% |
| EMA 크로스오버 fast=19, slow=36 |
-9.9% | -92.2% | -0.20 | -0.11 | 0.1x | 70 | 21% |
| Donchian 채널 돌파 entryN=50, exitN=20 |
-8.5% | -87.4% | -0.21 | -0.10 | 0.2x | 46 | 13% |
| SMA 크로스오버 fast=11, slow=113 |
-8.9% | -89.6% | -0.27 | -0.10 | 0.2x | 48 | 16% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-15.5% | -96.4% | -0.43 | -0.16 | 0.0x | 203 | 30% |
| MACD fast=18, slow=36, signal=10 |
-22.4% | -99.4% | -0.65 | -0.23 | 0.0x | 305 | 51% |
| Buy and hold | -27.3% | -99.9% | -0.63 | -0.27 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average