Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Russell2000 backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Russell2000. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.0%, MDD -46.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.9%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -51.8%, Sharpe 0.15, 5% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 30.5%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 0.0%, MDD -46.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=3.4 |
0.6% | -51.8% | 0.15 | 0.01 | 1.1x | 14 | 5% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=3.4 |
0.0% | -46.6% | 0.08 | 0.00 | 1.0x | 16 | 2% |
| EMA 크로스오버 fast=8, slow=152 |
-7.2% | -87.9% | -0.06 | -0.08 | 0.2x | 44 | 18% |
| Donchian 채널 돌파 entryN=85, exitN=25 |
-6.2% | -82.4% | -0.07 | -0.08 | 0.3x | 30 | 12% |
| ADX / DI 방향성 period=22, threshold=30 |
-3.2% | -67.2% | -0.09 | -0.05 | 0.5x | 16 | 3% |
| Supertrend period=13, mult=4 |
-13.2% | -96.5% | -0.20 | -0.14 | 0.1x | 86 | 34% |
| SMA 크로스오버 fast=58, slow=192 |
-11.7% | -94.9% | -0.26 | -0.12 | 0.1x | 24 | 20% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-15.3% | -97.3% | -0.29 | -0.16 | 0.0x | 191 | 35% |
| ROC 모멘텀 n=114, threshold=0.07 |
-15.2% | -97.3% | -0.34 | -0.16 | 0.0x | 150 | 16% |
| MACD fast=14, slow=34, signal=13 |
-20.0% | -99.4% | -0.38 | -0.20 | 0.0x | 285 | 52% |
| Buy and hold | -29.9% | -100.0% | -0.47 | -0.30 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 53-day middle average