Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro S&P 500 2x Daily Bull ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro S&P 500 2x Daily Bull ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.0%, MDD -46.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.3%, drawdown -59.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.0%, MDD -46.7%, Sharpe 0.81, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 13.0%p (CAGR 20.0%, MDD -46.7%, exposure 89%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=79 |
20.0% | -46.7% | 0.81 | 0.43 | 25.0x | 27 | 89% |
| ROC 모멘텀 n=44, threshold=-0.08 |
16.4% | -50.2% | 0.72 | 0.33 | 14.5x | 101 | 86% |
| SMA 크로스오버 fast=10, slow=142 |
14.3% | -32.9% | 0.72 | 0.44 | 10.7x | 45 | 75% |
| EMA 크로스오버 fast=24, slow=138 |
14.8% | -35.8% | 0.70 | 0.41 | 11.4x | 27 | 78% |
| Supertrend period=17, mult=4.8 |
9.6% | -43.4% | 0.54 | 0.22 | 5.0x | 74 | 63% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.6% | -35.6% | 0.41 | 0.18 | 3.1x | 181 | 63% |
| MACD fast=15, slow=53, signal=13 |
4.8% | -45.5% | 0.34 | 0.11 | 2.3x | 252 | 54% |
| 볼린저 밴드 돌파 n=25, k=1.3 |
4.1% | -34.8% | 0.32 | 0.12 | 2.0x | 212 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=1.7 |
3.0% | -34.6% | 0.27 | 0.09 | 1.7x | 160 | 46% |
| ADX / DI 방향성 period=28, threshold=4 |
0.2% | -47.7% | 0.10 | 0.00 | 1.0x | 298 | 57% |
| Buy and hold | 22.3% | -59.7% | 0.74 | 0.37 | 34.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 79 days