Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily South Korea Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily South Korea Bull 3X ETF. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.6%, MDD -52.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.6%, drawdown -96.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 26.7%, MDD -70.3%, Sharpe 0.70, 66% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 29.4%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 8.6%, MDD -52.0%, exposure 14%).
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=21, exitN=60 |
26.7% | -70.3% | 0.70 | 0.38 | 23.4x | 34 | 66% |
| 볼린저 밴드 돌파 n=30, k=2 |
18.0% | -53.7% | 0.61 | 0.34 | 9.1x | 74 | 28% |
| SMA 크로스오버 fast=16, slow=39 |
19.7% | -83.4% | 0.61 | 0.24 | 10.9x | 94 | 48% |
| Supertrend period=23, mult=5 |
17.7% | -74.2% | 0.59 | 0.24 | 8.7x | 62 | 44% |
| ROC 모멘텀 n=98, threshold=0.1 |
15.6% | -67.0% | 0.55 | 0.23 | 6.9x | 90 | 38% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=22, mult=2.2 |
14.8% | -64.8% | 0.54 | 0.23 | 6.3x | 88 | 30% |
| Parabolic SAR step=0.035, maxStep=0.14 |
14.6% | -79.2% | 0.53 | 0.18 | 6.1x | 312 | 51% |
| EMA 크로스오버 fast=54, slow=266 |
11.8% | -80.9% | 0.48 | 0.15 | 4.4x | 9 | 31% |
| MACD fast=19, slow=61, signal=12 |
10.3% | -89.5% | 0.46 | 0.12 | 3.7x | 150 | 53% |
| ADX / DI 방향성 period=32, threshold=16 |
8.6% | -52.0% | 0.41 | 0.17 | 3.0x | 42 | 14% |
| Buy and hold | -2.6% | -96.1% | 0.37 | -0.03 | 0.7x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 60 days