Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraPro S&P 500 backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraPro S&P 500. 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 30.1%, MDD -59.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 32.4%, drawdown -76.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.1%, MDD -59.4%, Sharpe 0.88, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 17.4%p (CAGR 30.1%, MDD -59.4%, exposure 87%).
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=19, exitN=66 |
30.1% | -59.4% | 0.88 | 0.51 | 91.6x | 35 | 87% |
| ROC 모멘텀 n=122, threshold=0 |
20.6% | -56.1% | 0.74 | 0.37 | 24.9x | 79 | 74% |
| SMA 크로스오버 fast=4, slow=169 |
19.0% | -38.3% | 0.71 | 0.50 | 19.9x | 61 | 73% |
| EMA 크로스오버 fast=22, slow=99 |
19.3% | -44.1% | 0.71 | 0.44 | 20.8x | 43 | 75% |
| Supertrend period=7, mult=2.7 |
16.4% | -37.4% | 0.68 | 0.44 | 13.6x | 159 | 61% |
| Parabolic SAR step=0.005, maxStep=0.26 |
13.5% | -41.9% | 0.58 | 0.32 | 8.8x | 179 | 62% |
| MACD fast=14, slow=38, signal=17 |
8.4% | -48.5% | 0.43 | 0.17 | 4.0x | 236 | 55% |
| 볼린저 밴드 돌파 n=33, k=1.6 |
6.5% | -47.2% | 0.39 | 0.14 | 2.9x | 137 | 48% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=20, mult=1.7 |
4.7% | -46.0% | 0.32 | 0.10 | 2.2x | 162 | 46% |
| ADX / DI 방향성 period=24, threshold=12 |
-0.9% | -63.5% | 0.08 | -0.01 | 0.9x | 236 | 43% |
| Buy and hold | 32.4% | -76.8% | 0.81 | 0.42 | 124.0x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 66 days