Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Short VIX Short Term Futures ETF backtest
10 trend-following strategies were compared on the full daily history of ProShares Short VIX Short Term Futures ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 12.3%, MDD -36.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.7%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.3%, MDD -66.3%, Sharpe 0.77, 76% exposure.
Return/drawdown alternative: MACD — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 12.3%, MDD -36.6%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=46, exitN=85 |
25.3% | -66.3% | 0.77 | 0.38 | 28.9x | 21 | 76% |
| 볼린저 밴드 돌파 n=26, k=1 |
13.1% | -54.2% | 0.59 | 0.24 | 6.3x | 185 | 54% |
| ROC 모멘텀 n=81, threshold=-0.04 |
15.6% | -61.7% | 0.58 | 0.25 | 8.7x | 123 | 74% |
| MACD fast=17, slow=50, signal=17 |
12.3% | -36.6% | 0.55 | 0.34 | 5.7x | 165 | 57% |
| SMA 크로스오버 fast=8, slow=55 |
11.2% | -53.9% | 0.49 | 0.21 | 4.9x | 105 | 67% |
| EMA 크로스오버 fast=43, slow=59 |
6.8% | -93.6% | 0.47 | 0.07 | 2.7x | 35 | 67% |
| Parabolic SAR step=0.05, maxStep=0.06 |
8.6% | -55.9% | 0.42 | 0.15 | 3.4x | 249 | 66% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=1.8 |
7.3% | -53.7% | 0.39 | 0.14 | 2.8x | 97 | 51% |
| Supertrend period=27, mult=2.4 |
7.1% | -71.4% | 0.38 | 0.10 | 2.8x | 167 | 65% |
| ADX / DI 방향성 period=31, threshold=9 |
5.3% | -42.0% | 0.33 | 0.13 | 2.1x | 185 | 38% |
| Buy and hold | 12.7% | -95.2% | 0.57 | 0.13 | 6.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 46 days
- Sell — Sell when price breaks below the lowest low of the last 85 days