Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Lehman 20 Year Treasury backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Lehman 20 Year Treasury. 10 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 0.2%, MDD -2.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.4%, drawdown -95.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.5%, MDD -3.1%, Sharpe 0.25, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.6%, MDD -38.0%, exposure 17%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 92.1%p (CAGR 0.2%, MDD -2.6%, 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=11, atrPeriod=17, mult=3.5 |
0.5% | -3.1% | 0.25 | 0.15 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=101, exitN=19 |
1.6% | -38.0% | 0.18 | 0.04 | 1.3x | 34 | 17% |
| ADX / DI 방향성 period=14, threshold=48 |
0.2% | -2.6% | 0.17 | 0.09 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=11, slow=57 |
0.9% | -42.6% | 0.14 | 0.02 | 1.2x | 91 | 42% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
0.7% | -15.8% | 0.14 | 0.04 | 1.1x | 8 | 4% |
| MACD fast=19, slow=88, signal=30 |
0.5% | -68.7% | 0.13 | 0.01 | 1.1x | 115 | 52% |
| EMA 크로스오버 fast=71, slow=208 |
-0.4% | -51.0% | 0.06 | -0.01 | 0.9x | 17 | 33% |
| ROC 모멘텀 n=101, threshold=0.16 |
-0.3% | -40.4% | 0.04 | -0.01 | 0.9x | 58 | 14% |
| Supertrend period=12, mult=4.9 |
-2.2% | -64.6% | -0.01 | -0.03 | 0.7x | 61 | 49% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-9.1% | -90.3% | -0.37 | -0.10 | 0.2x | 159 | 49% |
| Buy and hold | -10.4% | -95.2% | -0.22 | -0.11 | 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 11-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average