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ProShares Ultra Bloomberg Crude Oil backtest

10 trend-following strategies were compared on the full daily history of ProShares Ultra Bloomberg Crude Oil. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.9%, MDD -26.7%).

Data 2008-11-25 ~ 2026-07-31daily bars 4,446 (17.7 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -24.2%, drawdown -100.0%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -72.8%, Sharpe 0.31, 33% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.1%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 2.9%, MDD -26.7%, exposure 4%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=32, exitN=13
4.9%-72.8%0.310.072.3x8433%
볼린저 밴드 돌파
n=48, k=3.5
2.9%-26.7%0.300.111.7x64%
ADX / DI 방향성
period=22, threshold=25
2.5%-32.1%0.240.081.5x184%
SMA 크로스오버
fast=40, slow=159
0.3%-84.0%0.190.001.1x3342%
MACD
fast=19, slow=33, signal=21
-4.5%-90.5%0.15-0.050.4x18953%
Supertrend
period=24, mult=3
-2.1%-90.3%0.14-0.020.7x13649%
ROC 모멘텀
n=128, threshold=0.08
-1.1%-76.7%0.14-0.010.8x15135%
EMA 크로스오버
fast=13, slow=47
-2.1%-84.5%0.13-0.020.7x9747%
Parabolic SAR
step=0.005, maxStep=0.12
-4.2%-82.6%0.10-0.050.5x15149%
Keltner 채널 돌파
emaPeriod=41, atrPeriod=11, mult=2.3
-3.2%-84.9%0.02-0.040.6x9426%
Buy and hold-24.2%-100.0%-0.03-0.240.0x1100%
0.001 0.01 0.1 1x 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -72.8% (2009-06-11 → 2017-10-09), recovered after 4,649 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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