Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily S&P 500 Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily S&P 500 Bull 3X ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.6%, MDD -54.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.6%, drawdown -76.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.6%, MDD -54.4%, Sharpe 0.76, 83% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 22.4%p (CAGR 24.6%, MDD -54.4%, exposure 83%).
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=18, exitN=52 |
24.6% | -54.4% | 0.76 | 0.45 | 50.4x | 49 | 83% |
| SMA 크로스오버 fast=6, slow=165 |
21.1% | -44.4% | 0.75 | 0.47 | 30.2x | 53 | 73% |
| EMA 크로스오버 fast=20, slow=105 |
20.5% | -41.5% | 0.73 | 0.49 | 27.5x | 43 | 74% |
| ROC 모멘텀 n=123, threshold=-0.02 |
19.3% | -58.0% | 0.70 | 0.33 | 23.3x | 109 | 75% |
| Supertrend period=12, mult=4.6 |
14.7% | -52.8% | 0.58 | 0.28 | 11.5x | 77 | 61% |
| 볼린저 밴드 돌파 n=48, k=0.5 |
11.2% | -43.9% | 0.51 | 0.26 | 6.7x | 195 | 64% |
| Parabolic SAR step=0.005, maxStep=0.08 |
11.0% | -53.3% | 0.49 | 0.21 | 6.4x | 177 | 61% |
| MACD fast=17, slow=54, signal=17 |
8.6% | -53.5% | 0.42 | 0.16 | 4.4x | 212 | 55% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=15, mult=1.6 |
6.5% | -44.1% | 0.39 | 0.15 | 3.1x | 161 | 47% |
| ADX / DI 방향성 period=22, threshold=9 |
-2.3% | -68.5% | 0.04 | -0.03 | 0.7x | 327 | 52% |
| Buy and hold | 26.6% | -76.9% | 0.71 | 0.35 | 67.2x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 52 days