Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra QQQ backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra QQQ. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.7%, MDD -51.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.2%, drawdown -84.0%).
Sharpe leader (same as main): Supertrend — CAGR 20.1%, MDD -47.7%, Sharpe 0.86, 62% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 21.7%, MDD -51.7%, exposure 78%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 36.3%p (CAGR 21.7%, MDD -51.7%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.2 |
20.1% | -47.7% | 0.86 | 0.42 | 40.5x | 84 | 62% |
| Parabolic SAR step=0.005, maxStep=0.04 |
18.4% | -38.6% | 0.77 | 0.48 | 30.1x | 149 | 65% |
| SMA 크로스오버 fast=33, slow=170 |
20.7% | -51.7% | 0.75 | 0.40 | 44.9x | 31 | 73% |
| EMA 크로스오버 fast=90, slow=172 |
21.7% | -51.7% | 0.74 | 0.42 | 52.5x | 17 | 78% |
| ROC 모멘텀 n=154, threshold=0.03 |
17.0% | -42.5% | 0.68 | 0.40 | 23.9x | 135 | 73% |
| Donchian 채널 돌파 entryN=14, exitN=76 |
19.4% | -70.0% | 0.68 | 0.28 | 35.7x | 45 | 90% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=1.8 |
12.2% | -40.0% | 0.65 | 0.30 | 10.2x | 150 | 50% |
| MACD fast=27, slow=67, signal=18 |
10.5% | -45.6% | 0.51 | 0.23 | 7.5x | 182 | 53% |
| 볼린저 밴드 돌파 n=45, k=0.9 |
9.3% | -41.3% | 0.50 | 0.23 | 6.1x | 180 | 57% |
| ADX / DI 방향성 period=14, threshold=22 |
1.9% | -47.6% | 0.19 | 0.04 | 1.5x | 214 | 27% |
| Buy and hold | 24.2% | -84.0% | 0.71 | 0.29 | 79.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)