Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Energy Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Energy Bull 2X ETF. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -27.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.3%, drawdown -99.6%).
Sharpe leader (same as main): MACD — CAGR 9.4%, MDD -74.7%, Sharpe 0.43, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 2.7%, MDD -27.3%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=25, slow=54, signal=4 |
9.4% | -74.7% | 0.43 | 0.13 | 5.0x | 313 | 55% |
| 볼린저 밴드 돌파 n=39, k=2.9 |
5.7% | -42.2% | 0.38 | 0.14 | 2.7x | 22 | 11% |
| SMA 크로스오버 fast=37, slow=81 |
7.2% | -66.3% | 0.38 | 0.11 | 3.5x | 57 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=19, mult=3.4 |
4.0% | -33.9% | 0.34 | 0.12 | 2.0x | 26 | 8% |
| Donchian 채널 돌파 entryN=21, exitN=64 |
4.4% | -78.5% | 0.33 | 0.06 | 2.1x | 53 | 71% |
| ROC 모멘텀 n=123, threshold=0.06 |
4.6% | -77.2% | 0.31 | 0.06 | 2.2x | 187 | 47% |
| ADX / DI 방향성 period=27, threshold=23 |
2.7% | -27.3% | 0.27 | 0.10 | 1.6x | 26 | 6% |
| Supertrend period=8, mult=4 |
0.9% | -84.4% | 0.22 | 0.01 | 1.2x | 85 | 47% |
| EMA 크로스오버 fast=49, slow=152 |
0.9% | -68.5% | 0.22 | 0.01 | 1.2x | 29 | 50% |
| Parabolic SAR step=0.035, maxStep=0.38 |
-5.5% | -93.3% | 0.11 | -0.06 | 0.4x | 576 | 53% |
| Buy and hold | -7.3% | -99.6% | 0.27 | -0.07 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (25/54) crosses above its 4-day signal line
- Sell — Sell when the MACD line crosses back below the signal line