Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Short 20+ Year Treasury backtest
10 trend-following strategies were compared on the full daily history of ProShares Short 20+ Year Treasury. 9 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 0.1%, MDD -5.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.8%, drawdown -71.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -9.7%, Sharpe 0.12, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.5%, MDD -15.1%, exposure 14%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 0.1%, MDD -5.4%, exposure 2%).
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=30, k=3.1 |
0.4% | -9.7% | 0.12 | 0.04 | 1.1x | 16 | 6% |
| Donchian 채널 돌파 entryN=115, exitN=13 |
0.5% | -15.1% | 0.11 | 0.03 | 1.1x | 36 | 14% |
| ADX / DI 방향성 period=13, threshold=42 |
0.1% | -5.4% | 0.06 | 0.02 | 1.0x | 10 | 2% |
| SMA 크로스오버 fast=44, slow=235 |
-0.0% | -28.4% | 0.04 | -0.00 | 1.0x | 25 | 40% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=27, mult=3.5 |
-0.0% | -17.6% | 0.03 | -0.00 | 1.0x | 38 | 18% |
| EMA 크로스오버 fast=31, slow=85 |
-0.4% | -31.7% | 0.01 | -0.01 | 0.9x | 39 | 41% |
| ROC 모멘텀 n=139, threshold=0.14 |
-0.1% | -15.7% | 0.01 | -0.01 | 1.0x | 32 | 7% |
| MACD fast=40, slow=58, signal=21 |
-1.9% | -51.7% | -0.13 | -0.04 | 0.7x | 107 | 51% |
| Supertrend period=8, mult=4.7 |
-2.1% | -46.0% | -0.16 | -0.05 | 0.7x | 63 | 52% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-6.0% | -69.5% | -0.54 | -0.09 | 0.3x | 132 | 52% |
| Buy and hold | -3.8% | -71.2% | -0.19 | -0.05 | 0.5x | 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 30-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 30-day middle average