Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Gold Miners Index Bear 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Gold Miners Index Bear 2X ETF. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -22.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -49.3%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -11.6%, MDD -95.2%, Sharpe 0.11, 40% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.3%, MDD -22.5%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 37.7%p higher than buy and hold, while drawdown improves by 4.8%p (CAGR -0.3%, MDD -22.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=68 |
-11.6% | -95.2% | 0.11 | -0.12 | 0.1x | 67 | 40% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=3.7 |
-6.0% | -86.9% | 0.07 | -0.07 | 0.4x | 28 | 10% |
| ADX / DI 방향성 period=13, threshold=52 |
-0.3% | -22.5% | 0.02 | -0.01 | 0.9x | 6 | 1% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
-6.5% | -87.8% | 0.01 | -0.07 | 0.4x | 12 | 5% |
| Donchian 채널 돌파 entryN=21, exitN=60 |
-27.7% | -99.9% | 0.00 | -0.28 | 0.0x | 57 | 64% |
| Supertrend period=14, mult=4.6 |
-18.4% | -98.6% | -0.01 | -0.19 | 0.0x | 61 | 39% |
| EMA 크로스오버 fast=21, slow=104 |
-15.4% | -97.0% | -0.05 | -0.16 | 0.1x | 47 | 25% |
| ROC 모멘텀 n=84, threshold=0.14 |
-17.2% | -98.5% | -0.06 | -0.17 | 0.1x | 128 | 22% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-22.9% | -98.9% | -0.06 | -0.23 | 0.0x | 312 | 43% |
| MACD fast=11, slow=57, signal=23 |
-29.3% | -100.0% | -0.08 | -0.29 | 0.0x | 166 | 57% |
| Buy and hold | -49.3% | -100.0% | -0.19 | -0.49 | 0.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 68-day average
- Sell — Sell (to cash) when the 26-day average falls below the 68-day average