Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares S&P 500 Dividend Aristocrats ETF backtest
10 trend-following strategies were compared on the full daily history of ProShares S&P 500 Dividend Aristocrats ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -35.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -24.6%, Sharpe 0.56, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=14, threshold=-0.09 |
7.1% | -24.6% | 0.56 | 0.29 | 2.4x | 23 | 99% |
| Donchian 채널 돌파 entryN=90, exitN=58 |
3.4% | -21.2% | 0.41 | 0.16 | 1.5x | 19 | 62% |
| EMA 크로스오버 fast=78, slow=121 |
3.1% | -25.4% | 0.31 | 0.12 | 1.5x | 15 | 80% |
| Supertrend period=29, mult=3.3 |
2.4% | -20.2% | 0.27 | 0.12 | 1.4x | 83 | 63% |
| SMA 크로스오버 fast=49, slow=119 |
2.2% | -24.5% | 0.26 | 0.09 | 1.3x | 27 | 68% |
| 볼린저 밴드 돌파 n=55, k=2.6 |
0.5% | -9.9% | 0.13 | 0.05 | 1.1x | 21 | 17% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.7% | -24.9% | -0.03 | -0.03 | 0.9x | 131 | 60% |
| MACD fast=17, slow=23, signal=16 |
-0.7% | -25.5% | -0.03 | -0.03 | 0.9x | 183 | 50% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=29, mult=2.7 |
-1.2% | -23.9% | -0.15 | -0.05 | 0.9x | 59 | 34% |
| ADX / DI 방향성 period=24, threshold=27 |
-0.3% | -9.6% | -0.15 | -0.04 | 1.0x | 10 | 3% |
| Buy and hold | 8.3% | -35.4% | 0.59 | 0.24 | 2.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 14-day return is greater than -9%
- Sell — Sell when the 14-day return drops to -9% or below