Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily S&P 500 Bear 1X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily S&P 500 Bear 1X ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -1.5%, MDD -15.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -79.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.3%, MDD -18.5%, Sharpe 0.01, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 61.2%p (CAGR -1.5%, MDD -15.7%, 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=32, k=3.5 |
-0.3% | -18.5% | 0.01 | -0.02 | 1.0x | 6 | 2% |
| ADX / DI 방향성 period=21, threshold=31 |
-0.6% | -16.5% | -0.06 | -0.04 | 0.9x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=17, mult=4 |
-1.4% | -26.1% | -0.08 | -0.05 | 0.9x | 10 | 4% |
| Donchian 채널 돌파 entryN=53, exitN=5 |
-1.8% | -32.7% | -0.12 | -0.05 | 0.8x | 28 | 6% |
| ROC 모멘텀 n=7, threshold=0.1 |
-1.5% | -15.7% | -0.16 | -0.09 | 0.9x | 16 | 1% |
| SMA 크로스오버 fast=4, slow=148 |
-4.0% | -37.3% | -0.25 | -0.11 | 0.7x | 32 | 14% |
| EMA 크로스오버 fast=38, slow=53 |
-4.1% | -42.8% | -0.26 | -0.10 | 0.7x | 20 | 17% |
| Supertrend period=8, mult=4.6 |
-7.1% | -57.8% | -0.40 | -0.12 | 0.5x | 41 | 41% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-8.5% | -59.7% | -0.56 | -0.14 | 0.4x | 127 | 29% |
| MACD fast=21, slow=64, signal=11 |
-12.8% | -76.2% | -0.82 | -0.17 | 0.2x | 141 | 48% |
| Buy and hold | -14.1% | -79.6% | -0.75 | -0.18 | 0.2x | 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 32-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 32-day middle average