Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraPro QQQ backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraPro QQQ. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 41.3%, drawdown -81.8%).
Sharpe leader (same as main): Supertrend — CAGR 27.8%, MDD -62.9%, Sharpe 0.87, 62% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4.2 |
27.8% | -62.9% | 0.87 | 0.44 | 56.6x | 72 | 62% |
| ROC 모멘텀 n=147, threshold=-0.01 |
26.5% | -68.4% | 0.75 | 0.39 | 48.3x | 89 | 76% |
| EMA 크로스오버 fast=58, slow=135 |
26.0% | -69.9% | 0.73 | 0.37 | 45.0x | 19 | 76% |
| SMA 크로스오버 fast=38, slow=146 |
25.6% | -69.9% | 0.73 | 0.37 | 42.7x | 27 | 73% |
| Donchian 채널 돌파 entryN=85, exitN=78 |
24.0% | -53.3% | 0.73 | 0.45 | 34.5x | 23 | 70% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=10, mult=1.9 |
16.8% | -58.5% | 0.65 | 0.29 | 12.9x | 108 | 54% |
| Parabolic SAR step=0.005, maxStep=0.24 |
16.5% | -63.8% | 0.60 | 0.26 | 12.3x | 172 | 60% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
12.7% | -51.0% | 0.55 | 0.25 | 7.1x | 78 | 46% |
| MACD fast=6, slow=32, signal=13 |
12.3% | -64.6% | 0.50 | 0.19 | 6.7x | 362 | 53% |
| ADX / DI 방향성 period=13, threshold=13 |
6.8% | -71.9% | 0.37 | 0.09 | 3.0x | 386 | 51% |
| Buy and hold | 41.3% | -81.8% | 0.88 | 0.51 | 297.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)