Trend-Following Backtester · Guide · backtest 한국어
etf · US
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 29.7%, MDD -59.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 32.0%, drawdown -76.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.7%, MDD -59.4%, Sharpe 0.87, 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 29.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=19, exitN=66 |
29.7% | -59.4% | 0.87 | 0.50 | 85.5x | 35 | 87% |
| ROC 모멘텀 n=122, threshold=0 |
20.2% | -56.1% | 0.73 | 0.36 | 23.3x | 79 | 73% |
| SMA 크로스오버 fast=4, slow=169 |
18.6% | -38.3% | 0.70 | 0.49 | 18.6x | 61 | 73% |
| EMA 크로스오버 fast=22, slow=99 |
18.9% | -44.1% | 0.70 | 0.43 | 19.4x | 43 | 74% |
| Supertrend period=7, mult=2.7 |
16.7% | -37.4% | 0.69 | 0.45 | 14.0x | 158 | 61% |
| Parabolic SAR step=0.005, maxStep=0.26 |
13.4% | -41.9% | 0.58 | 0.32 | 8.6x | 178 | 62% |
| MACD fast=14, slow=38, signal=17 |
8.7% | -48.5% | 0.44 | 0.18 | 4.2x | 234 | 55% |
| 볼린저 밴드 돌파 n=33, k=1.6 |
6.7% | -47.2% | 0.40 | 0.14 | 3.0x | 136 | 48% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=20, mult=1.7 |
5.0% | -46.0% | 0.34 | 0.11 | 2.3x | 160 | 46% |
| ADX / DI 방향성 period=24, threshold=12 |
-0.6% | -63.5% | 0.09 | -0.01 | 0.9x | 234 | 43% |
| Buy and hold | 32.0% | -76.8% | 0.80 | 0.42 | 115.8x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 66 days