Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Financial Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Financial Bull 3X ETF. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.4%, MDD -53.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.0%, drawdown -91.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.6%, MDD -67.3%, Sharpe 0.65, 82% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 16.4%, MDD -53.5%, exposure 67%).
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=24, exitN=64 |
21.6% | -67.3% | 0.65 | 0.32 | 31.9x | 37 | 82% |
| ROC 모멘텀 n=124, threshold=0.03 |
17.8% | -61.4% | 0.63 | 0.29 | 18.2x | 137 | 63% |
| SMA 크로스오버 fast=18, slow=104 |
16.4% | -53.5% | 0.58 | 0.31 | 14.7x | 55 | 67% |
| EMA 크로스오버 fast=37, slow=60 |
15.5% | -55.2% | 0.56 | 0.28 | 12.8x | 47 | 68% |
| Supertrend period=18, mult=2.9 |
11.2% | -62.9% | 0.47 | 0.18 | 6.6x | 137 | 58% |
| MACD fast=14, slow=27, signal=19 |
11.0% | -71.2% | 0.45 | 0.15 | 6.3x | 255 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
9.2% | -63.1% | 0.42 | 0.15 | 4.8x | 165 | 57% |
| 볼린저 밴드 돌파 n=41, k=1.4 |
9.0% | -43.2% | 0.42 | 0.21 | 4.6x | 123 | 46% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=20, mult=3.9 |
6.1% | -34.2% | 0.39 | 0.18 | 2.9x | 41 | 21% |
| ADX / DI 방향성 period=31, threshold=33 |
0.5% | -11.0% | 0.18 | 0.05 | 1.1x | 2 | 1% |
| Buy and hold | 15.0% | -91.6% | 0.56 | 0.16 | 11.9x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 64 days