Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Financial Bear 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Financial Bear 3X ETF. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.8%, MDD -52.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -54.8%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR -0.8%, MDD -52.0%, Sharpe 0.11, 3% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.8%, MDD -53.8%, exposure 3%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 53.9%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR -0.8%, MDD -52.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=3.4 |
-0.8% | -52.0% | 0.11 | -0.02 | 0.9x | 20 | 3% |
| ADX / DI 방향성 period=25, threshold=23 |
-0.8% | -53.8% | 0.09 | -0.02 | 0.9x | 20 | 3% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
-4.0% | -64.3% | -0.00 | -0.06 | 0.5x | 16 | 4% |
| EMA 크로스오버 fast=11, slow=141 |
-8.5% | -84.1% | -0.08 | -0.10 | 0.2x | 24 | 10% |
| Donchian 채널 돌파 entryN=86, exitN=33 |
-10.2% | -91.4% | -0.12 | -0.11 | 0.1x | 20 | 11% |
| SMA 크로스오버 fast=10, slow=165 |
-11.2% | -88.1% | -0.14 | -0.13 | 0.1x | 36 | 13% |
| ROC 모멘텀 n=129, threshold=0.07 |
-11.7% | -91.8% | -0.21 | -0.13 | 0.1x | 84 | 9% |
| Supertrend period=27, mult=5 |
-19.6% | -99.1% | -0.23 | -0.20 | 0.0x | 56 | 20% |
| MACD fast=11, slow=18, signal=21 |
-37.8% | -100.0% | -0.54 | -0.38 | 0.0x | 289 | 54% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-34.7% | -100.0% | -0.55 | -0.35 | 0.0x | 274 | 35% |
| Buy and hold | -54.8% | -100.0% | -0.68 | -0.55 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average