Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra Gold backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra Gold. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.6%, MDD -53.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.8%, drawdown -75.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -53.9%, Sharpe 0.65, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 14.6%, MDD -53.9%, exposure 59%).
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=50, slow=150 |
14.6% | -53.9% | 0.65 | 0.27 | 11.3x | 26 | 59% |
| EMA 크로스오버 fast=26, slow=102 |
12.3% | -64.0% | 0.57 | 0.19 | 7.8x | 38 | 58% |
| Supertrend period=5, mult=4.3 |
10.9% | -48.6% | 0.54 | 0.23 | 6.3x | 89 | 51% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
3.9% | -20.1% | 0.50 | 0.19 | 2.0x | 11 | 6% |
| Donchian 채널 돌파 entryN=22, exitN=77 |
9.8% | -72.9% | 0.46 | 0.13 | 5.2x | 43 | 77% |
| ROC 모멘텀 n=131, threshold=0.01 |
8.7% | -60.3% | 0.45 | 0.14 | 4.4x | 136 | 58% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2.3 |
6.5% | -47.2% | 0.39 | 0.14 | 3.1x | 89 | 39% |
| MACD fast=25, slow=59, signal=24 |
6.6% | -54.5% | 0.39 | 0.12 | 3.1x | 135 | 48% |
| Parabolic SAR step=0.02, maxStep=0.2 |
2.3% | -73.7% | 0.22 | 0.03 | 1.5x | 356 | 52% |
| ADX / DI 방향성 period=38, threshold=7 |
0.8% | -83.0% | 0.16 | 0.01 | 1.2x | 212 | 48% |
| Buy and hold | 12.8% | -75.9% | 0.52 | 0.17 | 8.5x | 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 50-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 50-day average falls below the 150-day average