Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Silver backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Silver. 10 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 2.7%, MDD -21.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -41.7%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.7%, MDD -21.8%, Sharpe 0.27, 2% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 44.4%p higher than buy and hold, while drawdown improves by 78.2%p (CAGR 2.7%, MDD -21.8%, exposure 2%).
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=139, exitN=1 |
2.7% | -21.8% | 0.27 | 0.12 | 1.6x | 38 | 2% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
0.8% | -52.2% | 0.14 | 0.02 | 1.2x | 14 | 5% |
| ADX / DI 방향성 period=32, threshold=22 |
-0.0% | -34.2% | 0.06 | -0.00 | 1.0x | 12 | 4% |
| EMA 크로스오버 fast=116, slow=257 |
-1.7% | -50.5% | 0.05 | -0.03 | 0.7x | 6 | 24% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=8, mult=3.9 |
-2.3% | -66.6% | -0.02 | -0.03 | 0.7x | 30 | 10% |
| SMA 크로스오버 fast=28, slow=61 |
-11.2% | -89.2% | -0.16 | -0.13 | 0.1x | 79 | 41% |
| ROC 모멘텀 n=144, threshold=0.02 |
-8.9% | -87.6% | -0.17 | -0.10 | 0.2x | 140 | 28% |
| Supertrend period=26, mult=3.3 |
-12.2% | -93.6% | -0.20 | -0.13 | 0.1x | 127 | 39% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-16.5% | -96.9% | -0.21 | -0.17 | 0.0x | 291 | 45% |
| MACD fast=14, slow=44, signal=19 |
-20.0% | -98.9% | -0.22 | -0.20 | 0.0x | 202 | 54% |
| Buy and hold | -41.7% | -100.0% | -0.51 | -0.42 | 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 139 days
- Sell — Sell when price breaks below the lowest low of the last 1 days