Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers S&P 500 INVERSE DAILY SWAP UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers S&P 500 INVERSE DAILY SWAP UCITS ETF Capitalisation 1C. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -3.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -12.3%, drawdown -94.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.1%, MDD -3.2%, Sharpe -0.04, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 91.6%p (CAGR -0.1%, MDD -3.2%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=45 |
-0.1% | -3.2% | -0.04 | -0.02 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=118, exitN=46 |
-3.9% | -68.1% | -0.05 | -0.06 | 0.5x | 24 | 17% |
| SMA 크로스오버 fast=38, slow=109 |
-4.8% | -73.4% | -0.06 | -0.07 | 0.4x | 36 | 29% |
| EMA 크로스오버 fast=55, slow=145 |
-5.4% | -76.8% | -0.09 | -0.07 | 0.4x | 28 | 23% |
| ROC 모멘텀 n=112, threshold=0.26 |
-1.4% | -41.4% | -0.14 | -0.04 | 0.8x | 24 | 2% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
-1.7% | -42.3% | -0.19 | -0.04 | 0.7x | 14 | 2% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=4 |
-1.4% | -30.5% | -0.21 | -0.05 | 0.8x | 14 | 1% |
| Supertrend period=10, mult=4.9 |
-17.7% | -97.5% | -0.62 | -0.18 | 0.0x | 93 | 40% |
| MACD fast=23, slow=61, signal=24 |
-15.5% | -95.9% | -0.67 | -0.16 | 0.0x | 165 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-17.9% | -97.5% | -0.70 | -0.18 | 0.0x | 173 | 38% |
| Buy and hold | -12.3% | -94.8% | -0.13 | -0.13 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 45
- Sell — Sell when direction flips or the trend weakens (ADX < 45)