Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort S&P500 backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort S&P500. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -2.3%, MDD -42.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.8%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -3.6%, MDD -80.3%, Sharpe -0.03, 16% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -1.5%, MDD -46.6%, exposure 1%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.2%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR -2.3%, MDD -42.7%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=207 |
-3.6% | -80.3% | -0.03 | -0.05 | 0.5x | 16 | 16% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=28, mult=4 |
-2.3% | -42.7% | -0.04 | -0.05 | 0.6x | 18 | 2% |
| ADX / DI 방향성 period=28, threshold=28 |
-1.5% | -46.6% | -0.06 | -0.03 | 0.7x | 6 | 1% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
-3.2% | -56.2% | -0.10 | -0.06 | 0.5x | 16 | 3% |
| Donchian 채널 돌파 entryN=125, exitN=33 |
-5.9% | -80.5% | -0.13 | -0.07 | 0.3x | 18 | 8% |
| EMA 크로스오버 fast=29, slow=215 |
-6.5% | -87.1% | -0.17 | -0.07 | 0.3x | 22 | 11% |
| ROC 모멘텀 n=116, threshold=0.04 |
-8.7% | -89.5% | -0.20 | -0.10 | 0.2x | 106 | 13% |
| Supertrend period=10, mult=5 |
-15.2% | -97.7% | -0.35 | -0.16 | 0.0x | 73 | 36% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-17.6% | -97.9% | -0.53 | -0.18 | 0.0x | 211 | 31% |
| MACD fast=15, slow=54, signal=15 |
-21.8% | -99.4% | -0.62 | -0.22 | 0.0x | 265 | 52% |
| Buy and hold | -26.8% | -99.9% | -0.62 | -0.27 | 0.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 42-day average falls below the 207-day average