Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Short Russell2000 backtest
10 trend-following strategies were compared on the full daily history of ProShares Short Russell2000. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -2.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.3%, drawdown -97.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.8%, MDD -29.4%, Sharpe 0.12, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 67.9%p (CAGR -0.0%, MDD -2.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=3.2 |
0.8% | -29.4% | 0.12 | 0.03 | 1.2x | 18 | 7% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=14, mult=3.5 |
0.1% | -21.5% | 0.05 | 0.00 | 1.0x | 14 | 1% |
| Donchian 채널 돌파 entryN=84, exitN=18 |
-1.9% | -52.1% | -0.06 | -0.04 | 0.7x | 32 | 11% |
| ADX / DI 방향성 period=34, threshold=31 |
-0.0% | -2.1% | -0.08 | -0.02 | 1.0x | 2 | 0% |
| Supertrend period=21, mult=4.4 |
-5.4% | -77.5% | -0.22 | -0.07 | 0.3x | 74 | 31% |
| EMA 크로스오버 fast=46, slow=190 |
-5.6% | -77.1% | -0.25 | -0.07 | 0.3x | 28 | 21% |
| SMA 크로스오버 fast=52, slow=207 |
-6.3% | -76.7% | -0.31 | -0.08 | 0.3x | 20 | 22% |
| ROC 모멘텀 n=117, threshold=0.12 |
-5.9% | -72.6% | -0.34 | -0.08 | 0.3x | 88 | 7% |
| MACD fast=18, slow=29, signal=12 |
-12.1% | -94.6% | -0.56 | -0.13 | 0.1x | 287 | 51% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-12.9% | -94.3% | -0.66 | -0.14 | 0.1x | 383 | 40% |
| Buy and hold | -14.3% | -97.3% | -0.48 | -0.15 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 48-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 48-day middle average