Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraPro Short Russell2000 backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraPro Short Russell2000. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -0.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -46.1%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -0.8%, Sharpe 0.38, 0% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 1.0%, MDD -49.8%, exposure 2%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 46.9%p higher than buy and hold, while drawdown improves by 99.2%p (CAGR 0.8%, MDD -0.8%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=37 |
0.8% | -0.8% | 0.38 | 1.05 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=3.1 |
1.0% | -49.8% | 0.15 | 0.02 | 1.2x | 14 | 2% |
| 볼린저 밴드 돌파 n=34, k=3.3 |
-1.8% | -54.9% | 0.06 | -0.03 | 0.7x | 14 | 4% |
| Donchian 채널 돌파 entryN=61, exitN=7 |
-3.5% | -64.7% | 0.02 | -0.05 | 0.6x | 38 | 6% |
| ROC 모멘텀 n=38, threshold=0.13 |
-11.4% | -86.3% | -0.13 | -0.13 | 0.1x | 136 | 14% |
| EMA 크로스오버 fast=22, slow=103 |
-14.3% | -92.2% | -0.20 | -0.16 | 0.1x | 26 | 15% |
| Supertrend period=24, mult=3.6 |
-17.0% | -96.0% | -0.24 | -0.18 | 0.0x | 80 | 26% |
| SMA 크로스오버 fast=9, slow=58 |
-19.5% | -97.6% | -0.27 | -0.20 | 0.0x | 86 | 27% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-26.2% | -99.5% | -0.43 | -0.26 | 0.0x | 317 | 38% |
| MACD fast=13, slow=24, signal=15 |
-32.2% | -99.9% | -0.47 | -0.32 | 0.0x | 259 | 54% |
| Buy and hold | -46.1% | -100.0% | -0.61 | -0.46 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)