Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro S&P/TSX 60 2x Daily Bull ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro S&P/TSX 60 2x Daily Bull ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.9%, MDD -38.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.1%, drawdown -78.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -38.2%, Sharpe 0.59, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.5%, MDD -44.6%, exposure 77%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 39.9%p (CAGR 9.9%, MDD -38.2%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=8, slow=100 |
9.9% | -38.2% | 0.59 | 0.26 | 6.3x | 75 | 65% |
| EMA 크로스오버 fast=34, slow=45 |
9.8% | -47.7% | 0.59 | 0.21 | 6.3x | 57 | 66% |
| Donchian 채널 돌파 entryN=35, exitN=79 |
10.5% | -44.6% | 0.57 | 0.24 | 7.1x | 33 | 77% |
| ROC 모멘텀 n=73, threshold=-0.01 |
9.0% | -41.9% | 0.53 | 0.21 | 5.4x | 165 | 67% |
| Supertrend period=29, mult=4.8 |
6.6% | -46.8% | 0.43 | 0.14 | 3.5x | 85 | 65% |
| 볼린저 밴드 돌파 n=60, k=1.4 |
3.9% | -46.3% | 0.32 | 0.08 | 2.1x | 97 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=3.1 |
2.9% | -32.3% | 0.28 | 0.09 | 1.7x | 73 | 38% |
| ADX / DI 방향성 period=21, threshold=36 |
0.4% | -5.0% | 0.22 | 0.08 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.025, maxStep=0.06 |
-1.3% | -83.2% | 0.04 | -0.02 | 0.8x | 309 | 64% |
| MACD fast=11, slow=48, signal=22 |
-3.1% | -69.8% | -0.04 | -0.04 | 0.5x | 268 | 52% |
| Buy and hold | 10.1% | -78.1% | 0.45 | 0.13 | 6.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 8-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 8-day average falls below the 100-day average