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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 43.8%, drawdown -78.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.2%, MDD -86.9%, Sharpe 0.75, 91% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=76 |
30.2% | -86.9% | 0.75 | 0.35 | 105.3x | 43 | 91% |
| ROC 모멘텀 n=41, threshold=-0.09 |
27.3% | -71.4% | 0.74 | 0.38 | 71.0x | 173 | 79% |
| EMA 크로스오버 fast=58, slow=75 |
25.4% | -71.9% | 0.71 | 0.35 | 54.8x | 29 | 75% |
| Supertrend period=29, mult=4.9 |
22.6% | -57.3% | 0.71 | 0.39 | 36.7x | 68 | 61% |
| SMA 크로스오버 fast=22, slow=184 |
22.7% | -71.9% | 0.67 | 0.32 | 36.9x | 27 | 73% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=15, mult=1.5 |
16.5% | -60.8% | 0.60 | 0.27 | 14.9x | 140 | 55% |
| 볼린저 밴드 돌파 n=23, k=0.8 |
15.7% | -60.1% | 0.58 | 0.26 | 13.2x | 274 | 55% |
| MACD fast=13, slow=42, signal=12 |
15.6% | -65.4% | 0.56 | 0.24 | 12.9x | 284 | 54% |
| Parabolic SAR step=0.01, maxStep=0.24 |
14.4% | -73.5% | 0.53 | 0.20 | 10.7x | 290 | 58% |
| ADX / DI 방향성 period=19, threshold=11 |
11.4% | -62.6% | 0.48 | 0.18 | 6.7x | 282 | 49% |
| Buy and hold | 43.8% | -78.0% | 0.88 | 0.56 | 614.1x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 76 days