Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily CSI China Internet Index Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily CSI China Internet Index Bull 2X ETF. 10 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 8.0%, MDD -13.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.2%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.0%, MDD -13.0%, Sharpe 0.84, 6% exposure.
CAGR reference leader: Supertrend — CAGR 16.1%, MDD -54.2%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.3%p higher than buy and hold, while drawdown improves by 85.4%p (CAGR 8.0%, MDD -13.0%, exposure 6%).
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=29, threshold=34 |
8.0% | -13.0% | 0.84 | 0.62 | 2.1x | 2 | 6% |
| Supertrend period=29, mult=4.7 |
16.1% | -54.2% | 0.57 | 0.30 | 4.3x | 35 | 40% |
| EMA 크로스오버 fast=20, slow=40 |
9.4% | -71.4% | 0.43 | 0.13 | 2.4x | 32 | 44% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
9.3% | -55.5% | 0.42 | 0.17 | 2.4x | 42 | 34% |
| SMA 크로스오버 fast=18, slow=54 |
7.3% | -70.6% | 0.38 | 0.10 | 2.0x | 43 | 47% |
| Donchian 채널 돌파 entryN=53, exitN=18 |
6.6% | -49.5% | 0.36 | 0.13 | 1.9x | 30 | 29% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=10, mult=3.9 |
5.2% | -46.3% | 0.33 | 0.11 | 1.6x | 20 | 14% |
| ROC 모멘텀 n=39, threshold=0.01 |
1.9% | -80.2% | 0.27 | 0.02 | 1.2x | 139 | 44% |
| MACD fast=13, slow=37, signal=19 |
-1.3% | -84.7% | 0.25 | -0.02 | 0.9x | 115 | 52% |
| Parabolic SAR step=0.04, maxStep=0.34 |
-9.0% | -84.6% | 0.07 | -0.11 | 0.4x | 297 | 49% |
| Buy and hold | -20.2% | -98.4% | 0.11 | -0.21 | 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, 29-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)