Trend-Following Backtester · Guide · backtest 한국어
etf · US
Procure Space ETF backtest
10 trend-following strategies were compared on the full daily history of Procure Space ETF. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.0%, MDD -29.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.8%, drawdown -52.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.4%, MDD -36.8%, Sharpe 0.81, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 16.0%p (CAGR 14.0%, MDD -29.0%, exposure 71%).
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=22, slow=289 |
16.4% | -36.8% | 0.81 | 0.45 | 3.0x | 3 | 42% |
| ROC 모멘텀 n=145, threshold=0.07 |
15.6% | -38.7% | 0.79 | 0.40 | 2.9x | 19 | 39% |
| EMA 크로스오버 fast=20, slow=234 |
15.4% | -36.8% | 0.76 | 0.42 | 2.8x | 3 | 42% |
| Donchian 채널 돌파 entryN=19, exitN=41 |
14.0% | -29.0% | 0.65 | 0.48 | 2.6x | 24 | 71% |
| Supertrend period=8, mult=4.5 |
11.6% | -33.8% | 0.60 | 0.34 | 2.2x | 32 | 57% |
| Parabolic SAR step=0.005, maxStep=0.24 |
10.2% | -41.5% | 0.56 | 0.25 | 2.0x | 64 | 55% |
| MACD fast=17, slow=31, signal=14 |
9.0% | -38.5% | 0.53 | 0.23 | 1.9x | 88 | 50% |
| 볼린저 밴드 돌파 n=14, k=2.6 |
3.6% | -12.7% | 0.49 | 0.28 | 1.3x | 14 | 7% |
| ADX / DI 방향성 period=46, threshold=14 |
4.3% | -29.7% | 0.34 | 0.14 | 1.4x | 16 | 18% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.8 |
3.5% | -35.5% | 0.29 | 0.10 | 1.3x | 22 | 26% |
| Buy and hold | 7.8% | -52.8% | 0.40 | 0.15 | 1.7x | 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 22-day average price crosses above the 289-day average
- Sell — Sell (to cash) when the 22-day average falls below the 289-day average