Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra VIX Short Term Futures ETF backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra VIX Short Term Futures 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 -3.4%, MDD -69.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -80.0%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.4%, MDD -72.0%, Sharpe 0.30, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 84.4%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR -3.4%, MDD -69.6%, exposure 4%).
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=7, atrPeriod=9, mult=2.7 |
4.4% | -72.0% | 0.30 | 0.06 | 1.9x | 16 | 1% |
| ADX / DI 방향성 period=19, threshold=31 |
-3.4% | -69.6% | 0.08 | -0.05 | 0.6x | 12 | 4% |
| EMA 크로스오버 fast=6, slow=188 |
-3.2% | -83.8% | 0.05 | -0.04 | 0.6x | 6 | 2% |
| Donchian 채널 돌파 entryN=84, exitN=4 |
-6.1% | -74.9% | 0.02 | -0.08 | 0.4x | 16 | 2% |
| Supertrend period=36, mult=4.9 |
-17.3% | -96.0% | -0.02 | -0.18 | 0.1x | 30 | 13% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
-10.5% | -89.0% | -0.03 | -0.12 | 0.2x | 18 | 4% |
| ROC 모멘텀 n=176, threshold=0.24 |
-9.6% | -91.1% | -0.15 | -0.11 | 0.2x | 28 | 4% |
| SMA 크로스오버 fast=13, slow=211 |
-11.9% | -89.0% | -0.17 | -0.13 | 0.2x | 10 | 5% |
| Parabolic SAR step=0.045, maxStep=0.38 |
-48.0% | -100.0% | -0.32 | -0.48 | 0.0x | 553 | 35% |
| MACD fast=6, slow=66, signal=16 |
-58.0% | -100.0% | -0.37 | -0.58 | 0.0x | 207 | 58% |
| Buy and hold | -80.0% | -100.0% | -0.80 | -0.80 | 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 7-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average