Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraPro Dow30 backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraPro Dow30. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.5%, MDD -51.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.6%, drawdown -80.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.5%, MDD -51.4%, Sharpe 0.76, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 28.9%p (CAGR 24.5%, MDD -51.4%, exposure 92%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=104 |
24.5% | -51.4% | 0.76 | 0.48 | 37.7x | 23 | 92% |
| SMA 크로스오버 fast=42, slow=88 |
15.3% | -61.7% | 0.60 | 0.25 | 10.5x | 43 | 70% |
| EMA 크로스오버 fast=49, slow=142 |
15.0% | -61.5% | 0.59 | 0.24 | 10.1x | 21 | 77% |
| Parabolic SAR step=0.01, maxStep=0.2 |
12.1% | -44.4% | 0.55 | 0.27 | 6.6x | 261 | 62% |
| ROC 모멘텀 n=111, threshold=-0.01 |
12.1% | -65.8% | 0.53 | 0.18 | 6.6x | 133 | 73% |
| Supertrend period=15, mult=4.2 |
7.7% | -53.3% | 0.41 | 0.14 | 3.4x | 89 | 61% |
| ADX / DI 방향성 period=12, threshold=37 |
2.4% | -19.7% | 0.40 | 0.12 | 1.5x | 28 | 6% |
| MACD fast=7, slow=54, signal=17 |
7.5% | -53.0% | 0.40 | 0.14 | 3.3x | 296 | 54% |
| 볼린저 밴드 돌파 n=18, k=1.2 |
5.6% | -47.2% | 0.35 | 0.12 | 2.5x | 266 | 50% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=13, mult=1.3 |
4.3% | -47.8% | 0.33 | 0.09 | 2.0x | 202 | 31% |
| Buy and hold | 25.6% | -80.3% | 0.72 | 0.32 | 43.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 104 days