Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Russell 2000 Dividend Growers ETF backtest
10 trend-following strategies were compared on the full daily history of ProShares Russell 2000 Dividend Growers ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.7%, drawdown -34.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.2%, MDD -25.2%, Sharpe 0.43, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=21, threshold=-0.15 |
6.2% | -25.2% | 0.43 | 0.25 | 2.0x | 7 | 99% |
| Donchian 채널 돌파 entryN=7, exitN=56 |
4.6% | -28.6% | 0.35 | 0.16 | 1.7x | 39 | 91% |
| SMA 크로스오버 fast=54, slow=167 |
1.8% | -36.0% | 0.20 | 0.05 | 1.2x | 19 | 63% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
0.4% | -11.1% | 0.12 | 0.04 | 1.0x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=3.1 |
0.2% | -7.5% | 0.08 | 0.03 | 1.0x | 14 | 4% |
| EMA 크로스오버 fast=52, slow=199 |
0.1% | -31.9% | 0.08 | 0.00 | 1.0x | 19 | 67% |
| Supertrend period=10, mult=4.8 |
-1.3% | -35.6% | -0.05 | -0.04 | 0.9x | 49 | 53% |
| ADX / DI 방향성 period=26, threshold=28 |
-0.2% | -3.9% | -0.10 | -0.05 | 1.0x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.4% | -34.4% | -0.11 | -0.07 | 0.8x | 202 | 56% |
| MACD fast=21, slow=50, signal=20 |
-2.2% | -40.4% | -0.12 | -0.06 | 0.8x | 118 | 46% |
| Buy and hold | 5.7% | -34.5% | 0.38 | 0.16 | 1.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 21-day return is greater than -15%
- Sell — Sell when the 21-day return drops to -15% or below