Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Emerging Markets Bear 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Emerging Markets Bear 3X ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -20.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -41.2%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -3.1%, MDD -56.0%, Sharpe 0.00, 4% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.2%, MDD -20.7%, exposure 0%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 38.1%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR -0.2%, MDD -20.7%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=3.2 |
-3.1% | -56.0% | 0.00 | -0.06 | 0.6x | 18 | 4% |
| ADX / DI 방향성 period=31, threshold=23 |
-0.2% | -20.7% | -0.02 | -0.01 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=34, slow=83 |
-9.8% | -87.1% | -0.03 | -0.11 | 0.2x | 46 | 33% |
| EMA 크로스오버 fast=48, slow=78 |
-10.7% | -91.7% | -0.09 | -0.12 | 0.1x | 30 | 27% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=11, mult=2.4 |
-9.6% | -86.0% | -0.12 | -0.11 | 0.2x | 92 | 15% |
| Donchian 채널 돌파 entryN=116, exitN=65 |
-11.8% | -91.0% | -0.13 | -0.13 | 0.1x | 20 | 23% |
| Supertrend period=16, mult=5 |
-16.6% | -96.4% | -0.15 | -0.17 | 0.0x | 68 | 34% |
| ROC 모멘텀 n=69, threshold=0.12 |
-16.3% | -97.3% | -0.28 | -0.17 | 0.0x | 160 | 19% |
| MACD fast=11, slow=22, signal=14 |
-29.5% | -99.8% | -0.39 | -0.30 | 0.0x | 314 | 53% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-30.5% | -99.9% | -0.51 | -0.31 | 0.0x | 510 | 41% |
| Buy and hold | -41.2% | -100.0% | -0.43 | -0.41 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 24-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 24-day middle average