Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraPro Short QQQ backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraPro Short QQQ. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -53.3%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -0.5%, Sharpe 0.31, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 53.7%p higher than buy and hold, while drawdown improves by 99.5%p (CAGR 0.3%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=33 |
0.3% | -0.5% | 0.31 | 0.63 | 1.1x | 2 | 0% |
| SMA 크로스오버 fast=57, slow=218 |
-2.1% | -49.4% | 0.02 | -0.04 | 0.7x | 6 | 7% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
-0.8% | -22.1% | -0.09 | -0.04 | 0.9x | 2 | 0% |
| EMA 크로스오버 fast=55, slow=186 |
-4.0% | -56.7% | -0.16 | -0.07 | 0.5x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=29, mult=4 |
-10.4% | -83.8% | -0.28 | -0.12 | 0.2x | 22 | 4% |
| Donchian 채널 돌파 entryN=103, exitN=24 |
-12.4% | -88.6% | -0.32 | -0.14 | 0.1x | 14 | 6% |
| ROC 모멘텀 n=125, threshold=0.01 |
-15.4% | -94.7% | -0.42 | -0.16 | 0.1x | 90 | 8% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-22.2% | -98.7% | -0.44 | -0.23 | 0.0x | 68 | 17% |
| Supertrend period=14, mult=3.5 |
-26.9% | -99.6% | -0.46 | -0.27 | 0.0x | 97 | 28% |
| MACD fast=16, slow=26, signal=7 |
-37.9% | -100.0% | -0.69 | -0.38 | 0.0x | 297 | 53% |
| Buy and hold | -53.3% | -100.0% | -0.93 | -0.53 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)