Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Dow30 backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Dow30. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -14.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -25.3%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -49.2%, Sharpe 0.10, 10% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.0%, MDD -14.3%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.2%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR -0.0%, MDD -14.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=93, slow=286 |
-0.1% | -49.2% | 0.10 | -0.00 | 1.0x | 6 | 10% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=15, mult=4 |
-0.8% | -36.4% | 0.02 | -0.02 | 0.9x | 10 | 1% |
| ADX / DI 방향성 period=36, threshold=24 |
-0.0% | -14.3% | 0.01 | -0.00 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
-2.7% | -48.3% | -0.06 | -0.06 | 0.6x | 16 | 3% |
| Donchian 채널 돌파 entryN=93, exitN=5 |
-3.4% | -61.9% | -0.10 | -0.05 | 0.5x | 30 | 3% |
| EMA 크로스오버 fast=15, slow=149 |
-7.0% | -84.7% | -0.15 | -0.08 | 0.2x | 32 | 13% |
| ROC 모멘텀 n=114, threshold=0.03 |
-8.6% | -89.4% | -0.22 | -0.10 | 0.2x | 116 | 13% |
| Supertrend period=15, mult=4.6 |
-15.5% | -97.4% | -0.44 | -0.16 | 0.0x | 90 | 31% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-16.8% | -97.8% | -0.53 | -0.17 | 0.0x | 317 | 34% |
| MACD fast=16, slow=38, signal=11 |
-18.6% | -98.8% | -0.55 | -0.19 | 0.0x | 313 | 50% |
| Buy and hold | -25.3% | -99.8% | -0.62 | -0.25 | 0.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 93-day average price crosses above the 286-day average
- Sell — Sell (to cash) when the 93-day average falls below the 286-day average