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 20.2%, MDD -46.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.5%, drawdown -59.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.2%, MDD -46.7%, Sharpe 0.82, 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 20.2%, 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 |
20.2% | -46.7% | 0.82 | 0.43 | 26.2x | 27 | 89% |
| SMA 크로스오버 fast=10, slow=142 |
14.6% | -32.9% | 0.73 | 0.44 | 11.2x | 45 | 75% |
| ROC 모멘텀 n=44, threshold=-0.08 |
16.6% | -50.2% | 0.73 | 0.33 | 15.2x | 101 | 86% |
| EMA 크로스오버 fast=24, slow=138 |
15.0% | -35.8% | 0.71 | 0.42 | 11.9x | 27 | 78% |
| Supertrend period=17, mult=4.8 |
9.3% | -43.4% | 0.53 | 0.21 | 4.8x | 75 | 63% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.8% | -35.6% | 0.42 | 0.19 | 3.2x | 181 | 63% |
| MACD fast=15, slow=53, signal=13 |
4.6% | -45.5% | 0.33 | 0.10 | 2.2x | 254 | 55% |
| 볼린저 밴드 돌파 n=25, k=1.3 |
3.9% | -34.8% | 0.31 | 0.11 | 2.0x | 213 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=1.7 |
2.8% | -34.6% | 0.26 | 0.08 | 1.6x | 162 | 46% |
| ADX / DI 방향성 period=28, threshold=4 |
-0.1% | -47.7% | 0.09 | -0.00 | 1.0x | 301 | 57% |
| Buy and hold | 22.5% | -59.7% | 0.75 | 0.38 | 36.5x | 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