Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro Crude Oil Leveraged Daily Bull ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro Crude Oil Leveraged Daily Bull ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.5%, MDD -33.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -39.3%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.5%, MDD -33.4%, Sharpe 0.38, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 44.8%p higher than buy and hold, while drawdown improves by 66.6%p (CAGR 5.5%, MDD -33.4%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=3.5 |
5.5% | -33.4% | 0.38 | 0.16 | 2.7x | 4 | 3% |
| ADX / DI 방향성 period=25, threshold=19 |
2.8% | -57.5% | 0.24 | 0.05 | 1.7x | 50 | 10% |
| Donchian 채널 돌파 entryN=30, exitN=31 |
-1.0% | -87.6% | 0.19 | -0.01 | 0.8x | 70 | 47% |
| EMA 크로스오버 fast=14, slow=59 |
-1.1% | -86.3% | 0.18 | -0.01 | 0.8x | 83 | 43% |
| Supertrend period=19, mult=2.6 |
-1.8% | -88.9% | 0.17 | -0.02 | 0.7x | 180 | 44% |
| SMA 크로스오버 fast=14, slow=41 |
-4.6% | -97.0% | 0.11 | -0.05 | 0.4x | 123 | 47% |
| ROC 모멘텀 n=46, threshold=0.05 |
-5.0% | -92.3% | 0.08 | -0.05 | 0.4x | 270 | 40% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=28, mult=3.2 |
-2.7% | -71.0% | 0.02 | -0.04 | 0.6x | 54 | 12% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-11.8% | -94.1% | -0.07 | -0.12 | 0.1x | 155 | 46% |
| MACD fast=24, slow=53, signal=14 |
-21.5% | -99.6% | -0.16 | -0.22 | 0.0x | 177 | 55% |
| Buy and hold | -39.3% | -100.0% | -0.26 | -0.39 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 53-day middle average