Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra Russell2000 backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra Russell2000. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.4%, MDD -46.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.7%, drawdown -88.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.3%, MDD -58.0%, Sharpe 0.43, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.6%, MDD -75.1%, exposure 80%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 6.4%, MDD -46.3%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=132 |
8.3% | -58.0% | 0.43 | 0.14 | 4.7x | 31 | 61% |
| Donchian 채널 돌파 entryN=20, exitN=64 |
8.6% | -75.1% | 0.41 | 0.11 | 5.0x | 51 | 80% |
| SMA 크로스오버 fast=44, slow=126 |
7.1% | -65.3% | 0.38 | 0.11 | 3.8x | 43 | 61% |
| ROC 모멘텀 n=190, threshold=0.03 |
6.4% | -46.3% | 0.37 | 0.14 | 3.3x | 113 | 55% |
| ADX / DI 방향성 period=35, threshold=22 |
1.1% | -13.9% | 0.24 | 0.08 | 1.2x | 4 | 1% |
| Supertrend period=15, mult=3.6 |
1.4% | -58.1% | 0.19 | 0.02 | 1.3x | 117 | 54% |
| MACD fast=14, slow=27, signal=13 |
0.2% | -63.0% | 0.17 | 0.00 | 1.0x | 322 | 51% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-1.8% | -67.7% | 0.09 | -0.03 | 0.7x | 300 | 56% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
0.2% | -8.0% | 0.08 | 0.02 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=20, mult=1.6 |
-3.3% | -66.2% | -0.01 | -0.05 | 0.5x | 141 | 48% |
| Buy and hold | 6.7% | -88.5% | 0.38 | 0.08 | 3.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 132-day EMA
- Sell — Sell when the 36-day EMA falls below the 132-day EMA