Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares Ultra Semiconductors backtest
10 trend-following strategies were compared on the full daily history of ProShares Ultra Semiconductors. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 26.2%, MDD -54.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 27.0%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.1%, MDD -61.5%, Sharpe 0.78, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 26.2%, MDD -54.2%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=33, slow=157 |
29.1% | -61.5% | 0.78 | 0.47 | 144.8x | 25 | 67% |
| EMA 크로스오버 fast=21, slow=170 |
26.2% | -54.2% | 0.74 | 0.48 | 93.2x | 31 | 67% |
| Donchian 채널 돌파 entryN=40, exitN=96 |
26.3% | -56.3% | 0.73 | 0.47 | 95.3x | 29 | 78% |
| ROC 모멘텀 n=172, threshold=-0.02 |
23.4% | -72.1% | 0.69 | 0.33 | 60.6x | 95 | 70% |
| Supertrend period=17, mult=4.4 |
15.7% | -51.2% | 0.58 | 0.31 | 17.1x | 90 | 54% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=1.4 |
9.9% | -64.2% | 0.44 | 0.15 | 6.2x | 160 | 53% |
| MACD fast=23, slow=56, signal=13 |
7.9% | -68.4% | 0.39 | 0.12 | 4.4x | 234 | 53% |
| 볼린저 밴드 돌파 n=51, k=1.1 |
7.1% | -57.0% | 0.37 | 0.12 | 3.8x | 152 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.7% | -74.3% | 0.32 | 0.06 | 2.4x | 194 | 56% |
| ADX / DI 방향성 period=18, threshold=11 |
4.4% | -80.0% | 0.30 | 0.06 | 2.3x | 368 | 51% |
| Buy and hold | 27.0% | -89.3% | 0.70 | 0.30 | 106.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 33-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 33-day average falls below the 157-day average