Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra Bloomberg Crude Oil backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra Bloomberg Crude Oil. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.9%, MDD -26.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.2%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -72.8%, Sharpe 0.31, 33% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.1%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 2.9%, MDD -26.7%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=32, exitN=13 |
4.9% | -72.8% | 0.31 | 0.07 | 2.3x | 84 | 33% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
2.9% | -26.7% | 0.30 | 0.11 | 1.7x | 6 | 4% |
| ADX / DI 방향성 period=22, threshold=25 |
2.5% | -32.1% | 0.24 | 0.08 | 1.5x | 18 | 4% |
| SMA 크로스오버 fast=40, slow=159 |
0.3% | -84.0% | 0.19 | 0.00 | 1.1x | 33 | 42% |
| MACD fast=19, slow=33, signal=21 |
-4.5% | -90.5% | 0.15 | -0.05 | 0.4x | 189 | 53% |
| Supertrend period=24, mult=3 |
-2.1% | -90.3% | 0.14 | -0.02 | 0.7x | 136 | 49% |
| ROC 모멘텀 n=128, threshold=0.08 |
-1.1% | -76.7% | 0.14 | -0.01 | 0.8x | 151 | 35% |
| EMA 크로스오버 fast=13, slow=47 |
-2.1% | -84.5% | 0.13 | -0.02 | 0.7x | 97 | 47% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.2% | -82.6% | 0.10 | -0.05 | 0.5x | 151 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=2.3 |
-3.2% | -84.9% | 0.02 | -0.04 | 0.6x | 94 | 26% |
| Buy and hold | -24.2% | -100.0% | -0.03 | -0.24 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 32 days
- Sell — Sell when price breaks below the lowest low of the last 13 days