Trend-Following Backtester · Guide · backtest 한국어
etf · US
Procure Space ETF backtest
10 trend-following strategies were compared on the full daily history of Procure Space ETF. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.3%, MDD -33.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.1%, drawdown -52.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.0%, MDD -37.0%, Sharpe 0.75, 43% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 11.3%, MDD -33.8%, 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=11, slow=240 |
15.0% | -37.0% | 0.75 | 0.41 | 2.8x | 4 | 43% |
| ROC 모멘텀 n=141, threshold=0.09 |
13.7% | -37.8% | 0.73 | 0.36 | 2.6x | 16 | 37% |
| Supertrend period=8, mult=4.5 |
11.3% | -33.8% | 0.59 | 0.34 | 2.2x | 32 | 55% |
| SMA 크로스오버 fast=32, slow=200 |
11.6% | -36.8% | 0.59 | 0.32 | 2.3x | 8 | 47% |
| 볼린저 밴드 돌파 n=13, k=2.7 |
4.2% | -10.2% | 0.59 | 0.41 | 1.4x | 12 | 6% |
| Donchian 채널 돌파 entryN=111, exitN=62 |
10.4% | -35.9% | 0.58 | 0.29 | 2.1x | 8 | 40% |
| MACD fast=15, slow=25, signal=14 |
9.4% | -34.6% | 0.53 | 0.27 | 2.0x | 99 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
9.0% | -40.0% | 0.51 | 0.23 | 1.9x | 94 | 55% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=2 |
4.3% | -39.6% | 0.32 | 0.11 | 1.4x | 48 | 37% |
| ADX / DI 방향성 period=26, threshold=13 |
2.5% | -35.3% | 0.23 | 0.07 | 1.2x | 60 | 34% |
| Buy and hold | 7.1% | -52.8% | 0.38 | 0.14 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 11-day EMA crosses above the 240-day EMA
- Sell — Sell when the 11-day EMA falls below the 240-day EMA