Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Short S&P500 backtest
10 trend-following strategies were compared on the full daily history of ProShares Short S&P500. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -6.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -13.1%, drawdown -96.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.2%, MDD -16.2%, Sharpe 0.07, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.3%p higher than buy and hold, while drawdown improves by 79.8%p (CAGR 0.0%, MDD -6.3%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=7, mult=3.9 |
0.2% | -16.2% | 0.07 | 0.01 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=33, threshold=37 |
0.0% | -6.3% | 0.02 | 0.00 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=119, threshold=0.27 |
-0.6% | -26.6% | -0.04 | -0.02 | 0.9x | 6 | 1% |
| SMA 크로스오버 fast=58, slow=173 |
-2.5% | -64.7% | -0.12 | -0.04 | 0.6x | 18 | 19% |
| Donchian 채널 돌파 entryN=125, exitN=18 |
-2.2% | -51.8% | -0.13 | -0.04 | 0.6x | 22 | 6% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
-2.0% | -44.7% | -0.13 | -0.04 | 0.7x | 30 | 6% |
| EMA 크로스오버 fast=48, slow=141 |
-2.9% | -64.2% | -0.15 | -0.05 | 0.6x | 20 | 15% |
| Supertrend period=18, mult=4.1 |
-7.1% | -85.1% | -0.40 | -0.08 | 0.2x | 95 | 28% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-10.9% | -92.7% | -0.69 | -0.12 | 0.1x | 209 | 32% |
| MACD fast=13, slow=53, signal=18 |
-13.1% | -95.0% | -0.80 | -0.14 | 0.1x | 281 | 49% |
| Buy and hold | -13.1% | -96.1% | -0.62 | -0.14 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 19-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average