Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro NASDAQ-100 -2x Daily Bear ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro NASDAQ-100 -2x Daily Bear ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.4%, MDD -13.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.9%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -31.6%, Sharpe 0.12, 2% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 30.7%p higher than buy and hold, while drawdown improves by 68.3%p (CAGR -0.4%, MDD -13.3%, exposure 1%).
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=35, threshold=27 |
0.8% | -31.6% | 0.12 | 0.02 | 1.1x | 3 | 2% |
| EMA 크로스오버 fast=69, slow=190 |
-1.1% | -35.8% | -0.01 | -0.03 | 0.8x | 3 | 6% |
| MACD fast=7, slow=23, signal=13 |
-21.9% | -99.9% | -0.05 | -0.22 | 0.0x | 363 | 52% |
| SMA 크로스오버 fast=30, slow=205 |
-3.1% | -51.8% | -0.06 | -0.06 | 0.6x | 13 | 10% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=7, mult=3.7 |
-0.4% | -13.3% | -0.07 | -0.03 | 0.9x | 2 | 1% |
| 볼린저 밴드 돌파 n=46, k=3.1 |
-5.2% | -78.6% | -0.10 | -0.07 | 0.4x | 28 | 8% |
| ROC 모멘텀 n=112, threshold=0.24 |
-3.2% | -62.3% | -0.13 | -0.05 | 0.6x | 29 | 5% |
| Supertrend period=15, mult=4.9 |
-14.9% | -98.1% | -0.27 | -0.15 | 0.1x | 69 | 33% |
| Donchian 채널 돌파 entryN=115, exitN=22 |
-6.1% | -68.1% | -0.29 | -0.09 | 0.3x | 16 | 6% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-20.2% | -99.1% | -0.50 | -0.20 | 0.0x | 177 | 32% |
| Buy and hold | -29.9% | -100.0% | -0.12 | -0.30 | 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, 35-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)