Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Homebuilders & Supplies Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Homebuilders & Supplies Bull 3X ETF. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.8%, MDD -21.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.9%, drawdown -93.8%).
Sharpe leader (same as main): Supertrend — CAGR 30.2%, MDD -62.3%, Sharpe 0.76, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.2%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 7.8%, MDD -21.9%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.5 |
30.2% | -62.3% | 0.76 | 0.49 | 18.5x | 41 | 55% |
| 볼린저 밴드 돌파 n=47, k=0.7 |
26.6% | -51.2% | 0.72 | 0.52 | 13.5x | 78 | 49% |
| Donchian 채널 돌파 entryN=34, exitN=27 |
26.5% | -57.5% | 0.72 | 0.46 | 13.4x | 36 | 48% |
| SMA 크로스오버 fast=6, slow=63 |
25.5% | -56.2% | 0.70 | 0.45 | 12.3x | 56 | 55% |
| EMA 크로스오버 fast=19, slow=41 |
23.5% | -57.3% | 0.67 | 0.41 | 10.3x | 44 | 55% |
| ADX / DI 방향성 period=13, threshold=39 |
7.8% | -21.9% | 0.56 | 0.36 | 2.3x | 24 | 8% |
| ROC 모멘텀 n=36, threshold=0.05 |
15.6% | -57.8% | 0.54 | 0.27 | 5.0x | 172 | 48% |
| MACD fast=14, slow=32, signal=16 |
13.2% | -81.5% | 0.50 | 0.16 | 3.9x | 146 | 53% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=1.1 |
8.8% | -65.7% | 0.41 | 0.13 | 2.5x | 116 | 44% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-4.7% | -86.0% | 0.20 | -0.06 | 0.6x | 158 | 52% |
| Buy and hold | -0.9% | -93.8% | 0.44 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)