Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.7%, MDD -73.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -43.0%, drawdown -100.0%).
Sharpe leader (same as main): Supertrend — CAGR 4.1%, MDD -95.0%, Sharpe 0.37, 31% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 6.5%, MDD -88.8%, exposure 8%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.1%p higher than buy and hold, while drawdown improves by 4.9%p (CAGR 0.7%, MDD -73.7%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=4.6 |
4.1% | -95.0% | 0.37 | 0.04 | 1.6x | 38 | 31% |
| 볼린저 밴드 돌파 n=23, k=3 |
6.5% | -88.8% | 0.37 | 0.07 | 2.0x | 26 | 8% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=3.9 |
0.7% | -73.7% | 0.26 | 0.01 | 1.1x | 18 | 6% |
| MACD fast=19, slow=34, signal=16 |
-12.4% | -97.6% | 0.22 | -0.13 | 0.2x | 108 | 53% |
| SMA 크로스오버 fast=20, slow=254 |
-5.4% | -90.5% | 0.20 | -0.06 | 0.5x | 16 | 21% |
| ROC 모멘텀 n=125, threshold=0.02 |
-8.3% | -96.9% | 0.20 | -0.09 | 0.4x | 98 | 27% |
| ADX / DI 방향성 period=27, threshold=24 |
-1.5% | -76.7% | 0.17 | -0.02 | 0.8x | 8 | 3% |
| Parabolic SAR step=0.045, maxStep=0.14 |
-10.6% | -91.0% | 0.17 | -0.12 | 0.3x | 333 | 42% |
| Donchian 채널 돌파 entryN=9, exitN=27 |
-22.0% | -98.5% | 0.12 | -0.22 | 0.1x | 84 | 62% |
| EMA 크로스오버 fast=11, slow=120 |
-12.2% | -94.9% | 0.12 | -0.13 | 0.2x | 36 | 23% |
| Buy and hold | -43.0% | -100.0% | -0.07 | -0.43 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)