Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Aerospace & Defense Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Aerospace & Defense Bull 3X ETF. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 10.9%, MDD -59.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.7%, drawdown -91.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 24.8%, MDD -79.7%, Sharpe 0.55, 57% exposure.
Return/drawdown alternative: MACD — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 10.9%, MDD -59.3%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.24 |
24.8% | -79.7% | 0.55 | 0.31 | 7.9x | 168 | 57% |
| MACD fast=16, slow=27, signal=11 |
10.9% | -59.3% | 0.45 | 0.18 | 2.6x | 150 | 52% |
| ADX / DI 방향성 period=37, threshold=26 |
4.2% | -27.8% | 0.44 | 0.15 | 1.5x | 8 | 5% |
| EMA 크로스오버 fast=46, slow=76 |
3.7% | -81.7% | 0.34 | 0.05 | 1.4x | 19 | 63% |
| SMA 크로스오버 fast=30, slow=134 |
1.3% | -82.6% | 0.31 | 0.02 | 1.1x | 23 | 60% |
| Supertrend period=19, mult=2.1 |
4.1% | -79.7% | 0.30 | 0.05 | 1.5x | 130 | 58% |
| Donchian 채널 돌파 entryN=12, exitN=55 |
-4.6% | -91.9% | 0.25 | -0.05 | 0.6x | 31 | 86% |
| 볼린저 밴드 돌파 n=19, k=1.1 |
1.6% | -77.6% | 0.23 | 0.02 | 1.2x | 148 | 46% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=3.8 |
2.1% | -54.8% | 0.20 | 0.04 | 1.2x | 20 | 18% |
| ROC 모멘텀 n=17, threshold=0.14 |
-1.1% | -61.9% | 0.10 | -0.02 | 0.9x | 180 | 19% |
| Buy and hold | 10.7% | -91.4% | 0.51 | 0.12 | 2.6x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots