Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraPro Russell2000 backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraPro Russell2000. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.6%, MDD -67.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.0%, drawdown -88.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -77.7%, Sharpe 0.55, 82% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 11.6%, MDD -67.2%, exposure 61%).
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=22, exitN=73 |
16.3% | -77.7% | 0.55 | 0.21 | 12.1x | 37 | 82% |
| EMA 크로스오버 fast=31, slow=161 |
11.6% | -67.2% | 0.47 | 0.17 | 6.1x | 25 | 61% |
| SMA 크로스오버 fast=38, slow=152 |
7.7% | -86.1% | 0.39 | 0.09 | 3.4x | 29 | 61% |
| MACD fast=11, slow=25, signal=12 |
7.3% | -66.8% | 0.38 | 0.11 | 3.2x | 308 | 51% |
| ROC 모멘텀 n=148, threshold=0 |
7.3% | -66.0% | 0.38 | 0.11 | 3.2x | 145 | 58% |
| Parabolic SAR step=0.01, maxStep=0.08 |
5.5% | -76.9% | 0.34 | 0.07 | 2.4x | 230 | 56% |
| Supertrend period=27, mult=4.9 |
1.4% | -81.7% | 0.23 | 0.02 | 1.3x | 61 | 54% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=29, mult=4 |
1.7% | -40.0% | 0.19 | 0.04 | 1.3x | 16 | 6% |
| ADX / DI 방향성 period=32, threshold=18 |
1.7% | -33.1% | 0.19 | 0.05 | 1.3x | 28 | 6% |
| 볼린저 밴드 돌파 n=14, k=2 |
1.4% | -56.4% | 0.19 | 0.03 | 1.3x | 160 | 25% |
| Buy and hold | 13.0% | -88.1% | 0.52 | 0.15 | 7.5x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 73 days