Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Gold backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Gold. 10 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 0.9%, MDD -33.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.6%, drawdown -99.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -33.8%, Sharpe 0.15, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 23.5%p higher than buy and hold, while drawdown improves by 65.4%p (CAGR 0.9%, MDD -33.8%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=67, k=3.5 |
0.9% | -33.8% | 0.15 | 0.03 | 1.2x | 6 | 4% |
| Donchian 채널 돌파 entryN=105, exitN=21 |
-1.0% | -50.9% | -0.02 | -0.02 | 0.8x | 24 | 12% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=10, mult=4 |
-1.2% | -48.0% | -0.03 | -0.03 | 0.8x | 26 | 15% |
| SMA 크로스오버 fast=51, slow=140 |
-3.3% | -65.4% | -0.10 | -0.05 | 0.5x | 27 | 29% |
| EMA 크로스오버 fast=19, slow=66 |
-3.3% | -64.8% | -0.10 | -0.05 | 0.6x | 58 | 32% |
| ADX / DI 방향성 period=35, threshold=20 |
-1.5% | -39.9% | -0.15 | -0.04 | 0.8x | 20 | 4% |
| ROC 모멘텀 n=81, threshold=0.13 |
-3.5% | -57.0% | -0.20 | -0.06 | 0.5x | 116 | 13% |
| Supertrend period=17, mult=5 |
-6.3% | -76.4% | -0.21 | -0.08 | 0.3x | 64 | 39% |
| MACD fast=24, slow=26, signal=24 |
-11.3% | -92.8% | -0.39 | -0.12 | 0.1x | 168 | 52% |
| Parabolic SAR step=0.03, maxStep=0.28 |
-16.7% | -97.0% | -0.64 | -0.17 | 0.0x | 447 | 46% |
| Buy and hold | -22.6% | -99.2% | -0.58 | -0.23 | 0.0x | 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 67-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 67-day middle average