Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra Dow30 backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra Dow30. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -50.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -82.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.0%, MDD -50.1%, Sharpe 0.59, 81% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.6%, MDD -71.5%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 32.7%p (CAGR 12.0%, MDD -50.1%, exposure 81%).
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=28, exitN=61 |
12.0% | -50.1% | 0.59 | 0.24 | 9.9x | 47 | 81% |
| SMA 크로스오버 fast=21, slow=185 |
10.2% | -50.9% | 0.54 | 0.20 | 7.1x | 35 | 72% |
| ROC 모멘텀 Hold-like · Exposure 97% n=12, threshold=-0.14 |
12.6% | -71.5% | 0.54 | 0.18 | 11.0x | 75 | 97% |
| EMA 크로스오버 fast=48, slow=103 |
9.0% | -38.9% | 0.50 | 0.23 | 5.7x | 31 | 74% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
0.9% | -5.4% | 0.50 | 0.17 | 1.2x | 2 | 2% |
| Supertrend period=16, mult=4.3 |
7.3% | -33.8% | 0.47 | 0.22 | 4.1x | 97 | 61% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=28, mult=3.1 |
0.7% | -4.4% | 0.46 | 0.15 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=32, threshold=17 |
2.4% | -19.0% | 0.35 | 0.13 | 1.6x | 40 | 12% |
| Parabolic SAR step=0.01, maxStep=0.2 |
3.3% | -52.6% | 0.26 | 0.06 | 1.9x | 315 | 62% |
| MACD fast=16, slow=26, signal=16 |
0.8% | -51.9% | 0.14 | 0.02 | 1.2x | 302 | 53% |
| Buy and hold | 12.7% | -82.8% | 0.51 | 0.15 | 11.2x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 61 days