Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Short Dow30 backtest
10 trend-following strategies were compared on the full daily history of ProShares Short Dow30. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -7.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.9%, drawdown -94.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.5%, MDD -13.9%, Sharpe 0.12, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 80.3%p (CAGR -0.1%, MDD -7.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=9, mult=4 |
0.5% | -13.9% | 0.12 | 0.04 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=37, threshold=30 |
-0.1% | -7.5% | -0.08 | -0.02 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
-1.2% | -29.1% | -0.09 | -0.04 | 0.8x | 16 | 3% |
| Donchian 채널 돌파 entryN=97, exitN=6 |
-1.7% | -40.0% | -0.13 | -0.04 | 0.7x | 30 | 4% |
| EMA 크로스오버 fast=11, slow=176 |
-3.5% | -63.7% | -0.20 | -0.05 | 0.5x | 38 | 14% |
| SMA 크로스오버 fast=20, slow=171 |
-3.7% | -66.8% | -0.22 | -0.06 | 0.5x | 34 | 17% |
| ROC 모멘텀 n=149, threshold=0.13 |
-2.7% | -45.3% | -0.26 | -0.06 | 0.6x | 26 | 3% |
| Supertrend period=12, mult=4.8 |
-8.3% | -85.5% | -0.50 | -0.10 | 0.2x | 84 | 35% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-10.2% | -90.9% | -0.69 | -0.11 | 0.1x | 305 | 35% |
| MACD fast=16, slow=41, signal=10 |
-11.7% | -93.3% | -0.75 | -0.12 | 0.1x | 311 | 49% |
| Buy and hold | -11.9% | -94.1% | -0.60 | -0.13 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 16-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average