Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra Bloomberg Natural Gas backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra Bloomberg Natural Gas. 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 4.8%, MDD -60.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -58.0%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.8%, MDD -60.0%, Sharpe 0.33, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 62.9%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 4.8%, MDD -60.0%, exposure 14%).
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=57, k=2.5 |
4.8% | -60.0% | 0.33 | 0.08 | 2.0x | 24 | 14% |
| ADX / DI 방향성 period=11, threshold=31 |
0.6% | -72.4% | 0.23 | 0.01 | 1.1x | 62 | 10% |
| Donchian 채널 돌파 entryN=127, exitN=23 |
0.3% | -65.5% | 0.20 | 0.01 | 1.1x | 14 | 9% |
| EMA 크로스오버 fast=33, slow=186 |
-5.3% | -77.4% | 0.11 | -0.07 | 0.4x | 12 | 13% |
| SMA 크로스오버 fast=31, slow=188 |
-11.9% | -87.5% | 0.01 | -0.14 | 0.2x | 20 | 21% |
| ROC 모멘텀 n=98, threshold=0.12 |
-13.9% | -91.5% | -0.02 | -0.15 | 0.1x | 116 | 20% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=20, mult=4 |
-10.3% | -90.0% | -0.05 | -0.11 | 0.2x | 26 | 9% |
| MACD fast=17, slow=49, signal=15 |
-30.6% | -99.6% | -0.13 | -0.31 | 0.0x | 152 | 58% |
| Supertrend period=7, mult=5 |
-26.9% | -99.0% | -0.19 | -0.27 | 0.0x | 58 | 38% |
| Parabolic SAR step=0.04, maxStep=0.42 |
-31.3% | -99.6% | -0.26 | -0.31 | 0.0x | 482 | 43% |
| Buy and hold | -58.0% | -100.0% | -0.45 | -0.58 | 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 57-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average