Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Energy backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Energy. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -52.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -32.0%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.0%, MDD -52.2%, Sharpe 0.19, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.9%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 2.0%, MDD -52.2%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=30 |
2.0% | -52.2% | 0.19 | 0.04 | 1.5x | 20 | 3% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=28, mult=3.5 |
-0.7% | -55.8% | 0.08 | -0.01 | 0.9x | 24 | 2% |
| Donchian 채널 돌파 entryN=72, exitN=22 |
-4.4% | -86.5% | 0.05 | -0.05 | 0.4x | 34 | 16% |
| 볼린저 밴드 돌파 n=23, k=3.4 |
-1.3% | -53.3% | 0.03 | -0.02 | 0.8x | 14 | 2% |
| SMA 크로스오버 fast=36, slow=194 |
-6.3% | -86.0% | 0.02 | -0.07 | 0.3x | 26 | 23% |
| EMA 크로스오버 fast=26, slow=229 |
-6.0% | -86.6% | 0.02 | -0.07 | 0.3x | 18 | 18% |
| Supertrend period=17, mult=4 |
-10.5% | -93.6% | -0.11 | -0.11 | 0.1x | 92 | 32% |
| ROC 모멘텀 n=86, threshold=0.06 |
-14.1% | -96.3% | -0.17 | -0.15 | 0.1x | 174 | 22% |
| MACD fast=13, slow=57, signal=6 |
-18.4% | -98.5% | -0.23 | -0.19 | 0.0x | 353 | 51% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-17.2% | -97.5% | -0.25 | -0.18 | 0.0x | 194 | 39% |
| Buy and hold | -32.0% | -100.0% | -0.36 | -0.32 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 22-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)