Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Short QQQ backtest
10 trend-following strategies were compared on the full daily history of ProShares Short QQQ. 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 -0.3%, MDD -16.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.8%, drawdown -98.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.8%, MDD -46.6%, Sharpe -0.01, 12% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.3%, MDD -16.0%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR -0.3%, MDD -16.0%, 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=68, slow=250 |
-0.8% | -46.6% | -0.01 | -0.02 | 0.8x | 10 | 12% |
| ADX / DI 방향성 period=15, threshold=42 |
-0.3% | -16.0% | -0.04 | -0.02 | 0.9x | 4 | 1% |
| ROC 모멘텀 n=101, threshold=0.13 |
-1.0% | -35.0% | -0.05 | -0.03 | 0.8x | 34 | 5% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
-1.4% | -46.1% | -0.06 | -0.03 | 0.8x | 17 | 5% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=20, mult=3.7 |
-1.8% | -48.8% | -0.13 | -0.04 | 0.7x | 24 | 4% |
| EMA 크로스오버 fast=51, slow=140 |
-2.4% | -49.6% | -0.13 | -0.05 | 0.6x | 14 | 12% |
| Donchian 채널 돌파 entryN=80, exitN=19 |
-3.3% | -66.9% | -0.20 | -0.05 | 0.5x | 28 | 8% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-7.9% | -87.1% | -0.43 | -0.09 | 0.2x | 93 | 24% |
| Supertrend period=27, mult=4.2 |
-8.3% | -88.7% | -0.44 | -0.09 | 0.2x | 89 | 27% |
| MACD fast=17, slow=55, signal=18 |
-16.2% | -97.7% | -0.90 | -0.17 | 0.0x | 239 | 49% |
| Buy and hold | -17.8% | -98.7% | -0.78 | -0.18 | 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 68-day average price crosses above the 250-day average
- Sell — Sell (to cash) when the 68-day average falls below the 250-day average