Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Junior Gold Miners Index Bear 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Junior Gold Miners Index 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 ADX / DI 방향성 (CAGR -4.6%, MDD -55.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -69.4%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -6.1%, MDD -86.1%, Sharpe 0.14, 4% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -4.6%, MDD -55.5%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 63.3%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR -4.6%, MDD -55.5%, 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=37, k=3.2 |
-6.1% | -86.1% | 0.14 | -0.07 | 0.4x | 10 | 4% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-18.5% | -97.2% | 0.12 | -0.19 | 0.1x | 258 | 40% |
| Supertrend period=14, mult=1.9 |
-21.5% | -98.9% | -0.01 | -0.22 | 0.0x | 164 | 35% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=28, mult=3.3 |
-16.2% | -91.4% | -0.13 | -0.18 | 0.1x | 20 | 4% |
| Donchian 채널 돌파 entryN=14, exitN=59 |
-43.7% | -100.0% | -0.14 | -0.44 | 0.0x | 59 | 62% |
| EMA 크로스오버 fast=42, slow=77 |
-19.1% | -97.6% | -0.19 | -0.20 | 0.1x | 25 | 18% |
| MACD fast=11, slow=49, signal=10 |
-46.4% | -100.0% | -0.20 | -0.46 | 0.0x | 186 | 57% |
| ADX / DI 방향성 period=15, threshold=38 |
-4.6% | -55.5% | -0.27 | -0.08 | 0.5x | 6 | 1% |
| ROC 모멘텀 n=15, threshold=0.23 |
-30.7% | -99.4% | -0.28 | -0.31 | 0.0x | 162 | 12% |
| SMA 크로스오버 fast=17, slow=133 |
-28.0% | -99.5% | -0.31 | -0.28 | 0.0x | 39 | 22% |
| Buy and hold | -69.4% | -100.0% | -0.39 | -0.69 | 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 37-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 37-day middle average