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Trend-Following Backtester · Guide · backtest 한국어

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ProShares UltraPro S&P 500 backtest

10 trend-following strategies were compared on the full daily history of ProShares UltraPro S&P 500. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 30.1%, MDD -59.4%).

Data 2009-06-25 ~ 2026-08-31daily bars 4,322 (17.2 years)Costs 0.5%Venue XASEMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 32.4%, drawdown -76.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.1%, MDD -59.4%, Sharpe 0.88, 87% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 17.4%p (CAGR 30.1%, MDD -59.4%, exposure 87%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=19, exitN=66
30.1%-59.4%0.880.5191.6x3587%
ROC 모멘텀
n=122, threshold=0
20.6%-56.1%0.740.3724.9x7974%
SMA 크로스오버
fast=4, slow=169
19.0%-38.3%0.710.5019.9x6173%
EMA 크로스오버
fast=22, slow=99
19.3%-44.1%0.710.4420.8x4375%
Supertrend
period=7, mult=2.7
16.4%-37.4%0.680.4413.6x15961%
Parabolic SAR
step=0.005, maxStep=0.26
13.5%-41.9%0.580.328.8x17962%
MACD
fast=14, slow=38, signal=17
8.4%-48.5%0.430.174.0x23655%
볼린저 밴드 돌파
n=33, k=1.6
6.5%-47.2%0.390.142.9x13748%
Keltner 채널 돌파
emaPeriod=26, atrPeriod=20, mult=1.7
4.7%-46.0%0.320.102.2x16246%
ADX / DI 방향성
period=24, threshold=12
-0.9%-63.5%0.08-0.010.9x23643%
Buy and hold32.4%-76.8%0.810.42124.0x1100%
1x 10x 100x 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -58% -77% 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -59.4% (2022-01-03 → 2022-11-03), recovered after 912 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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