Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraPro Short S&P500 backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraPro Short S&P500. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.5%, MDD -13.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -43.2%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR -1.6%, MDD -47.9%, Sharpe 0.02, 1% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.5%, MDD -13.4%, exposure 0%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 41.5%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR -0.5%, MDD -13.4%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=10, mult=4 |
-1.6% | -47.9% | 0.02 | -0.03 | 0.8x | 8 | 1% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
-4.3% | -61.4% | -0.06 | -0.07 | 0.5x | 18 | 3% |
| Donchian 채널 돌파 entryN=114, exitN=19 |
-6.4% | -73.2% | -0.11 | -0.09 | 0.3x | 14 | 5% |
| ADX / DI 방향성 period=32, threshold=30 |
-0.5% | -13.4% | -0.12 | -0.04 | 0.9x | 2 | 0% |
| EMA 크로스오버 fast=7, slow=65 |
-13.6% | -92.0% | -0.25 | -0.15 | 0.1x | 68 | 15% |
| SMA 크로스오버 fast=15, slow=207 |
-10.5% | -86.3% | -0.27 | -0.12 | 0.2x | 20 | 8% |
| ROC 모멘텀 n=121, threshold=0.11 |
-10.5% | -86.6% | -0.32 | -0.12 | 0.1x | 60 | 5% |
| Supertrend period=22, mult=4.6 |
-21.4% | -98.4% | -0.52 | -0.22 | 0.0x | 70 | 21% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-24.4% | -99.2% | -0.54 | -0.25 | 0.0x | 182 | 29% |
| MACD fast=12, slow=92, signal=24 |
-29.1% | -99.8% | -0.58 | -0.29 | 0.0x | 167 | 54% |
| Buy and hold | -43.2% | -100.0% | -0.86 | -0.43 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average