Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra S&P500 backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra S&P500. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.5%, MDD -35.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.6%, drawdown -85.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.5%, MDD -35.2%, Sharpe 0.69, 71% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.7%, MDD -52.1%, exposure 82%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 50.3%p (CAGR 13.5%, MDD -35.2%, exposure 71%).
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=10, slow=190 |
13.5% | -35.2% | 0.69 | 0.38 | 13.0x | 35 | 71% |
| EMA 크로스오버 fast=49, slow=63 |
13.4% | -35.5% | 0.67 | 0.38 | 12.6x | 39 | 72% |
| Donchian 채널 돌파 entryN=34, exitN=77 |
13.7% | -52.1% | 0.63 | 0.26 | 13.3x | 35 | 82% |
| ROC 모멘텀 n=122, threshold=-0.02 |
12.0% | -42.8% | 0.62 | 0.28 | 9.8x | 107 | 73% |
| Supertrend period=13, mult=4.6 |
9.7% | -43.4% | 0.57 | 0.22 | 6.5x | 81 | 59% |
| Parabolic SAR step=0.005, maxStep=0.34 |
4.1% | -68.9% | 0.30 | 0.06 | 2.3x | 207 | 62% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=1.8 |
3.2% | -37.1% | 0.29 | 0.09 | 1.9x | 163 | 43% |
| 볼린저 밴드 돌파 n=29, k=0.8 |
3.4% | -48.9% | 0.27 | 0.07 | 2.0x | 259 | 58% |
| MACD fast=16, slow=23, signal=16 |
0.0% | -60.3% | 0.12 | 0.00 | 1.0x | 322 | 53% |
| ADX / DI 방향성 period=34, threshold=16 |
-0.3% | -32.1% | 0.01 | -0.01 | 0.9x | 68 | 12% |
| Buy and hold | 14.6% | -85.5% | 0.55 | 0.17 | 15.6x | 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 10-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 10-day average falls below the 190-day average