Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Bloomberg Natural Gas backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Bloomberg Natural Gas. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.3%, MDD -78.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.7%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -93.9%, Sharpe 0.50, 85% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.3%, MDD -86.5%, exposure 51%.
Return/drawdown alternative: Supertrend — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 5.5%p (CAGR 5.3%, MDD -78.3%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=121 |
7.4% | -93.9% | 0.50 | 0.08 | 2.9x | 37 | 85% |
| ROC 모멘텀 n=83, threshold=-0.03 |
11.3% | -86.5% | 0.49 | 0.13 | 4.9x | 169 | 51% |
| SMA 크로스오버 fast=53, slow=96 |
9.3% | -90.6% | 0.46 | 0.10 | 3.7x | 45 | 49% |
| Supertrend period=8, mult=3 |
5.3% | -78.3% | 0.39 | 0.07 | 2.1x | 135 | 46% |
| ADX / DI 방향성 period=12, threshold=12 |
4.1% | -82.6% | 0.36 | 0.05 | 1.8x | 372 | 44% |
| MACD fast=10, slow=48, signal=10 |
-3.3% | -93.0% | 0.29 | -0.04 | 0.6x | 258 | 53% |
| EMA 크로스오버 fast=13, slow=49 |
-1.5% | -81.2% | 0.29 | -0.02 | 0.8x | 85 | 49% |
| 볼린저 밴드 돌파 n=14, k=1.1 |
-1.1% | -79.5% | 0.27 | -0.01 | 0.8x | 286 | 39% |
| Parabolic SAR step=0.03, maxStep=0.28 |
-5.3% | -95.2% | 0.23 | -0.06 | 0.4x | 414 | 49% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=9, mult=1.1 |
-2.5% | -88.6% | 0.23 | -0.03 | 0.7x | 222 | 37% |
| Buy and hold | -11.7% | -99.5% | 0.34 | -0.12 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 121 days