Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra Silver backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra Silver. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.8%, MDD -60.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.9%, drawdown -98.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.8%, MDD -60.2%, Sharpe 0.46, 19% exposure.
CAGR reference leader: Supertrend — CAGR 10.0%, MDD -82.6%, exposure 44%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 9.8%, MDD -60.2%, exposure 19%).
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=31, atrPeriod=16, mult=3.2 |
9.8% | -60.2% | 0.46 | 0.16 | 5.2x | 60 | 19% |
| Supertrend period=8, mult=3.4 |
10.0% | -82.6% | 0.46 | 0.12 | 5.4x | 128 | 44% |
| 볼린저 밴드 돌파 n=40, k=0.7 |
9.4% | -64.1% | 0.44 | 0.15 | 4.9x | 162 | 39% |
| MACD fast=18, slow=39, signal=19 |
7.6% | -72.2% | 0.41 | 0.11 | 3.6x | 175 | 52% |
| ADX / DI 방향성 period=16, threshold=21 |
7.6% | -68.1% | 0.41 | 0.11 | 3.7x | 118 | 20% |
| SMA 크로스오버 fast=60, slow=139 |
6.7% | -88.3% | 0.39 | 0.08 | 3.1x | 38 | 43% |
| Parabolic SAR step=0.015, maxStep=0.22 |
5.6% | -72.0% | 0.37 | 0.08 | 2.6x | 287 | 48% |
| EMA 크로스오버 fast=55, slow=99 |
3.6% | -92.1% | 0.34 | 0.04 | 1.9x | 40 | 44% |
| Donchian 채널 돌파 entryN=110, exitN=18 |
4.1% | -74.6% | 0.31 | 0.06 | 2.0x | 36 | 17% |
| ROC 모멘텀 n=125, threshold=-0.03 |
0.3% | -93.9% | 0.28 | 0.00 | 1.1x | 184 | 50% |
| Buy and hold | 1.9% | -98.2% | 0.37 | 0.02 | 1.4x | 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 31-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average