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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 24.4%, MDD -51.4%).

Data 2010-02-11 ~ 2026-07-31daily bars 4,142 (16.5 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 25.5%, drawdown -80.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.4%, 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 24.4%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=18, exitN=104
24.4%-51.4%0.760.4736.5x2392%
SMA 크로스오버
fast=42, slow=88
15.1%-61.7%0.600.2510.2x4370%
EMA 크로스오버
fast=49, slow=142
14.9%-61.5%0.580.249.8x2176%
Parabolic SAR
step=0.01, maxStep=0.2
12.2%-44.4%0.550.276.7x26062%
ROC 모멘텀
n=111, threshold=-0.01
11.9%-65.8%0.520.186.4x13373%
MACD
fast=7, slow=54, signal=17
7.9%-53.0%0.420.153.5x29454%
Supertrend
period=15, mult=4.2
7.5%-53.3%0.410.143.3x8961%
ADX / DI 방향성
period=12, threshold=37
2.5%-19.7%0.410.121.5x286%
볼린저 밴드 돌파
n=18, k=1.2
5.9%-47.2%0.360.122.6x26450%
Keltner 채널 돌파
emaPeriod=10, atrPeriod=13, mult=1.3
4.7%-47.1%0.350.102.1x20031%
Buy and hold25.5%-80.3%0.720.3242.2x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -60% -80% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -51.4% (2022-01-04 → 2022-10-20), recovered after 1,037 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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