Trend-Following Backtester · Guide · backtest 한국어
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Direxion Daily S&P 500 Bear 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily S&P 500 Bear 3X ETF. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.5%, MDD -16.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -45.7%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR -2.2%, MDD -48.5%, Sharpe 0.02, 2% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.5%, MDD -16.3%, exposure 0%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 43.4%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR -0.5%, MDD -16.3%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=28, mult=4 |
-2.2% | -48.5% | 0.02 | -0.05 | 0.7x | 14 | 2% |
| Donchian 채널 돌파 entryN=75, exitN=21 |
-7.1% | -77.6% | -0.10 | -0.09 | 0.3x | 22 | 7% |
| ADX / DI 방향성 period=23, threshold=34 |
-0.5% | -16.3% | -0.12 | -0.03 | 0.9x | 2 | 0% |
| 볼린저 밴드 돌파 n=50, k=3.1 |
-7.3% | -79.2% | -0.13 | -0.09 | 0.3x | 22 | 5% |
| SMA 크로스오버 fast=54, slow=174 |
-7.1% | -73.4% | -0.23 | -0.10 | 0.3x | 20 | 10% |
| ROC 모멘텀 n=38, threshold=0.09 |
-13.2% | -94.6% | -0.26 | -0.14 | 0.1x | 124 | 11% |
| EMA 크로스오버 fast=25, slow=151 |
-9.9% | -86.1% | -0.27 | -0.11 | 0.2x | 18 | 7% |
| Supertrend period=32, mult=4.3 |
-15.8% | -97.8% | -0.32 | -0.16 | 0.0x | 72 | 17% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-24.9% | -99.4% | -0.52 | -0.25 | 0.0x | 184 | 30% |
| MACD fast=17, slow=34, signal=15 |
-31.6% | -99.9% | -0.64 | -0.32 | 0.0x | 233 | 54% |
| Buy and hold | -45.7% | -100.0% | -0.85 | -0.46 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average