Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares K-1 Free Crude Oil ETF backtest
10 trend-following strategies were compared on the full daily history of ProShares K-1 Free Crude Oil ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -8.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.5%, drawdown -84.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -8.9%, Sharpe 0.44, 3% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 3.7%, MDD -16.9%, exposure 9%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 75.1%p (CAGR 2.8%, MDD -8.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=58, k=3.5 |
2.8% | -8.9% | 0.44 | 0.32 | 1.3x | 2 | 3% |
| ADX / DI 방향성 period=38, threshold=15 |
3.7% | -16.9% | 0.38 | 0.22 | 1.4x | 14 | 9% |
| ROC 모멘텀 n=51, threshold=0.24 |
3.0% | -19.1% | 0.35 | 0.16 | 1.3x | 26 | 6% |
| Supertrend period=5, mult=4.1 |
3.4% | -42.4% | 0.27 | 0.08 | 1.4x | 57 | 50% |
| Donchian 채널 돌파 entryN=38, exitN=17 |
3.0% | -32.2% | 0.26 | 0.09 | 1.3x | 43 | 36% |
| SMA 크로스오버 fast=15, slow=190 |
2.2% | -42.4% | 0.21 | 0.05 | 1.2x | 21 | 42% |
| EMA 크로스오버 fast=32, slow=104 |
1.2% | -40.0% | 0.16 | 0.03 | 1.1x | 21 | 44% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=3.8 |
1.0% | -34.4% | 0.14 | 0.03 | 1.1x | 27 | 22% |
| MACD fast=19, slow=44, signal=19 |
-0.9% | -62.4% | 0.08 | -0.01 | 0.9x | 105 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-6.8% | -75.4% | -0.21 | -0.09 | 0.5x | 177 | 52% |
| Buy and hold | -5.5% | -84.0% | 0.03 | -0.07 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 58-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 58-day middle average