Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily S&P Biotech Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily S&P Biotech Bull 3X ETF. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -14.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.9%, drawdown -99.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.6%, MDD -73.8%, Sharpe 0.47, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 30.6%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 2.2%, MDD -14.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=17, slow=194 |
11.6% | -73.8% | 0.47 | 0.16 | 3.5x | 13 | 39% |
| MACD fast=12, slow=51, signal=8 |
6.1% | -94.0% | 0.42 | 0.07 | 2.0x | 183 | 52% |
| SMA 크로스오버 fast=21, slow=49 |
6.6% | -78.6% | 0.40 | 0.08 | 2.1x | 63 | 49% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=8, mult=4 |
3.3% | -16.9% | 0.37 | 0.20 | 1.4x | 4 | 3% |
| ROC 모멘텀 n=36, threshold=0.03 |
4.0% | -65.5% | 0.35 | 0.06 | 1.6x | 188 | 45% |
| Donchian 채널 돌파 entryN=102, exitN=66 |
4.7% | -72.2% | 0.34 | 0.07 | 1.7x | 13 | 33% |
| Supertrend period=22, mult=5 |
3.2% | -70.0% | 0.33 | 0.05 | 1.4x | 29 | 40% |
| ADX / DI 방향성 period=39, threshold=24 |
2.2% | -14.3% | 0.28 | 0.16 | 1.3x | 2 | 2% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-3.0% | -92.2% | 0.27 | -0.03 | 0.7x | 218 | 51% |
| 볼린저 밴드 돌파 n=20, k=1.9 |
-4.5% | -75.1% | 0.11 | -0.06 | 0.6x | 107 | 28% |
| Buy and hold | -18.9% | -99.2% | 0.28 | -0.19 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 17-day EMA crosses above the 194-day EMA
- Sell — Sell when the 17-day EMA falls below the 194-day EMA