Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Semiconductors backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Semiconductors. 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 -0.3%, MDD -46.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -50.4%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.3%, MDD -46.3%, Sharpe 0.04, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 50.0%p higher than buy and hold, while drawdown improves by 53.7%p (CAGR -0.3%, MDD -46.3%, 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=29 |
-0.3% | -46.3% | 0.04 | -0.01 | 0.9x | 4 | 1% |
| SMA 크로스오버 fast=52, slow=198 |
-6.8% | -91.5% | -0.07 | -0.07 | 0.2x | 16 | 15% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=3.9 |
-6.0% | -87.2% | -0.10 | -0.07 | 0.3x | 24 | 7% |
| EMA 크로스오버 fast=54, slow=77 |
-9.2% | -94.1% | -0.12 | -0.10 | 0.1x | 24 | 16% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
-3.9% | -79.5% | -0.13 | -0.05 | 0.5x | 26 | 3% |
| ROC 모멘텀 n=128, threshold=0.13 |
-8.7% | -91.7% | -0.16 | -0.09 | 0.2x | 74 | 9% |
| Donchian 채널 돌파 entryN=98, exitN=26 |
-10.1% | -95.5% | -0.21 | -0.11 | 0.1x | 26 | 10% |
| Supertrend period=28, mult=4.9 |
-19.9% | -99.5% | -0.36 | -0.20 | 0.0x | 72 | 26% |
| MACD fast=7, slow=39, signal=12 |
-38.4% | -100.0% | -0.73 | -0.38 | 0.0x | 387 | 53% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-36.0% | -100.0% | -0.78 | -0.36 | 0.0x | 379 | 39% |
| Buy and hold | -50.4% | -100.0% | -0.78 | -0.50 | 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 ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)