Trend-Following Backtester · Guide · backtest 한국어
etf · US
UltraPro Short Dow30 backtest
10 trend-following strategies were compared on the full daily history of UltraPro Short Dow30. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -29.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -38.9%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -29.9%, Sharpe 0.06, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 39.0%p higher than buy and hold, while drawdown improves by 70.0%p (CAGR 0.1%, MDD -29.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=31 |
0.1% | -29.9% | 0.06 | 0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=4 |
-3.6% | -56.4% | -0.01 | -0.06 | 0.6x | 18 | 3% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
-4.0% | -60.1% | -0.04 | -0.07 | 0.5x | 12 | 2% |
| SMA 크로스오버 fast=9, slow=171 |
-9.2% | -81.6% | -0.16 | -0.11 | 0.2x | 24 | 10% |
| Donchian 채널 돌파 entryN=91, exitN=5 |
-7.1% | -77.0% | -0.17 | -0.09 | 0.3x | 24 | 3% |
| ROC 모멘텀 n=111, threshold=-0.01 |
-12.6% | -89.6% | -0.27 | -0.14 | 0.1x | 102 | 12% |
| EMA 크로스오버 fast=24, slow=108 |
-12.2% | -89.0% | -0.28 | -0.14 | 0.1x | 28 | 10% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-18.4% | -97.0% | -0.37 | -0.19 | 0.0x | 237 | 32% |
| Supertrend period=17, mult=3.3 |
-20.6% | -98.0% | -0.50 | -0.21 | 0.0x | 116 | 26% |
| MACD fast=12, slow=29, signal=17 |
-27.9% | -99.7% | -0.60 | -0.28 | 0.0x | 265 | 51% |
| Buy and hold | -38.9% | -100.0% | -0.76 | -0.39 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)