Trend-Following Backtester · Guide · backtest 한국어

etf · US

ProShares UltraPro Russell2000 backtest

10 trend-following strategies were compared on the full daily history of ProShares UltraPro Russell2000. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.6%, MDD -67.2%).

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

1 of 10 beat buy and hold (CAGR 13.0%, drawdown -88.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -77.7%, Sharpe 0.55, 82% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 11.6%, MDD -67.2%, exposure 61%).

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=22, exitN=73
16.3%-77.7%0.550.2112.1x3782%
EMA 크로스오버
fast=31, slow=161
11.6%-67.2%0.470.176.1x2561%
SMA 크로스오버
fast=38, slow=152
7.7%-86.1%0.390.093.4x2961%
MACD
fast=11, slow=25, signal=12
7.3%-66.8%0.380.113.2x30851%
ROC 모멘텀
n=148, threshold=0
7.3%-66.0%0.380.113.2x14558%
Parabolic SAR
step=0.01, maxStep=0.08
5.5%-76.9%0.340.072.4x23056%
Supertrend
period=27, mult=4.9
1.4%-81.7%0.230.021.3x6154%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=29, mult=4
1.7%-40.0%0.190.041.3x166%
ADX / DI 방향성
period=32, threshold=18
1.7%-33.1%0.190.051.3x286%
볼린저 밴드 돌파
n=14, k=2
1.4%-56.4%0.190.031.3x16025%
Buy and hold13.0%-88.1%0.520.157.5x1100%
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% -22% -44% -66% -88% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -77.7% (2021-03-15 → 2023-11-16), prior peak not yet recovered.

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

Read next