Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Real Estate Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Real Estate Bull 3X ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -86.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -80.4%, Sharpe 0.39, 91% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=5, exitN=70 |
6.7% | -80.4% | 0.39 | 0.08 | 3.1x | 73 | 91% |
| 볼린저 밴드 돌파 n=21, k=3.4 |
1.7% | -8.7% | 0.38 | 0.20 | 1.3x | 2 | 1% |
| ROC 모멘텀 n=119, threshold=-0.01 |
3.7% | -63.2% | 0.29 | 0.06 | 1.9x | 143 | 61% |
| Parabolic SAR step=0.015, maxStep=0.08 |
2.6% | -71.6% | 0.26 | 0.04 | 1.6x | 275 | 56% |
| MACD fast=11, slow=41, signal=11 |
0.7% | -64.4% | 0.21 | 0.01 | 1.1x | 304 | 53% |
| SMA 크로스오버 fast=58, slow=142 |
-0.4% | -81.9% | 0.21 | -0.00 | 0.9x | 37 | 58% |
| Supertrend period=5, mult=1.9 |
0.3% | -77.2% | 0.20 | 0.00 | 1.1x | 256 | 54% |
| ADX / DI 방향성 period=34, threshold=17 |
1.9% | -38.1% | 0.19 | 0.05 | 1.4x | 48 | 13% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=3.8 |
1.6% | -60.0% | 0.18 | 0.03 | 1.3x | 38 | 20% |
| EMA 크로스오버 fast=37, slow=140 |
-4.5% | -89.8% | 0.08 | -0.05 | 0.5x | 41 | 56% |
| Buy and hold | 10.3% | -86.3% | 0.47 | 0.12 | 5.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 5 days
- Sell — Sell when price breaks below the lowest low of the last 70 days