Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Energy Bear 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Energy Bear 2X ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -58.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.4%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -58.3%, Sharpe 0.28, 1% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 44.7%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 4.3%, MDD -58.3%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.8 |
4.3% | -58.3% | 0.28 | 0.07 | 2.1x | 8 | 1% |
| ADX / DI 방향성 period=20, threshold=31 |
3.3% | -69.0% | 0.26 | 0.05 | 1.8x | 18 | 3% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=2.6 |
0.8% | -61.0% | 0.17 | 0.01 | 1.1x | 24 | 2% |
| Donchian 채널 돌파 entryN=83, exitN=22 |
-5.3% | -91.4% | 0.08 | -0.06 | 0.4x | 28 | 14% |
| Supertrend period=19, mult=3.3 |
-9.0% | -92.6% | 0.05 | -0.10 | 0.2x | 102 | 31% |
| EMA 크로스오버 fast=47, slow=183 |
-8.0% | -93.3% | 0.02 | -0.09 | 0.2x | 16 | 17% |
| MACD fast=10, slow=48, signal=5 |
-20.3% | -98.9% | -0.13 | -0.21 | 0.0x | 394 | 52% |
| SMA 크로스오버 fast=36, slow=85 |
-17.6% | -97.2% | -0.14 | -0.18 | 0.0x | 55 | 33% |
| ROC 모멘텀 n=118, threshold=0.05 |
-16.7% | -96.7% | -0.15 | -0.17 | 0.0x | 124 | 21% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-22.5% | -98.9% | -0.24 | -0.23 | 0.0x | 407 | 42% |
| Buy and hold | -40.4% | -100.0% | -0.34 | -0.40 | 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 11-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 11-day middle average