Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Technology Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Technology Bull 3X ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 42.8%, drawdown -78.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 28.3%, MDD -71.4%, Sharpe 0.76, 79% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.2%, MDD -86.9%, exposure 91%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=41, threshold=-0.09 |
28.3% | -71.4% | 0.76 | 0.40 | 80.0x | 166 | 79% |
| Donchian 채널 돌파 entryN=11, exitN=76 |
29.2% | -86.9% | 0.74 | 0.34 | 89.8x | 43 | 91% |
| Supertrend period=29, mult=4.9 |
22.7% | -57.3% | 0.71 | 0.40 | 36.7x | 68 | 61% |
| EMA 크로스오버 fast=58, slow=75 |
24.4% | -71.9% | 0.69 | 0.34 | 46.8x | 29 | 75% |
| SMA 크로스오버 fast=22, slow=184 |
21.7% | -71.9% | 0.65 | 0.30 | 31.5x | 27 | 73% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=15, mult=1.5 |
17.5% | -60.8% | 0.63 | 0.29 | 17.0x | 138 | 55% |
| 볼린저 밴드 돌파 n=23, k=0.8 |
16.7% | -60.1% | 0.60 | 0.28 | 15.1x | 272 | 55% |
| MACD fast=13, slow=42, signal=12 |
16.5% | -65.4% | 0.58 | 0.25 | 14.6x | 282 | 54% |
| Parabolic SAR step=0.01, maxStep=0.24 |
15.3% | -73.5% | 0.55 | 0.21 | 12.2x | 288 | 58% |
| ADX / DI 방향성 period=19, threshold=11 |
12.1% | -62.6% | 0.50 | 0.19 | 7.4x | 280 | 49% |
| Buy and hold | 42.8% | -78.0% | 0.87 | 0.55 | 523.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 41-day return is greater than -9%
- Sell — Sell when the 41-day return drops to -9% or below