Trend-Following Backtester · Guide · backtest 한국어

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Direxion Technology Bear 3X ETF backtest

10 trend-following strategies were compared on the full daily history of Direxion Technology Bear 3X ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -1.2%, MDD -35.9%).

Data 2008-12-30 ~ 2026-07-31daily bars 4,423 (17.6 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -58.1%, drawdown -100.0%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR -1.2%, MDD -35.9%, Sharpe 0.05, 2% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 56.9%p higher than buy and hold, while drawdown improves by 64.1%p (CAGR -1.2%, MDD -35.9%, exposure 2%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=26, threshold=24
-1.2%-35.9%0.05-0.030.8x162%
Donchian 채널 돌파
entryN=113, exitN=24
-7.6%-75.9%-0.22-0.100.2x124%
ROC 모멘텀
n=125, threshold=0.05
-9.3%-83.3%-0.24-0.110.2x525%
SMA 크로스오버
fast=18, slow=210
-9.3%-82.8%-0.25-0.110.2x186%
EMA 크로스오버
fast=30, slow=127
-9.8%-85.0%-0.29-0.120.2x146%
볼린저 밴드 돌파
n=53, k=2.8
-12.4%-90.5%-0.30-0.140.1x245%
Keltner 채널 돌파
emaPeriod=46, atrPeriod=17, mult=3.6
-11.0%-87.5%-0.34-0.130.1x223%
Supertrend
period=28, mult=4
-26.7%-99.8%-0.52-0.270.0x8420%
MACD
fast=13, slow=37, signal=13
-41.5%-100.0%-0.73-0.410.0x26754%
Parabolic SAR
step=0.025, maxStep=0.12
-39.5%-100.0%-0.81-0.400.0x40333%
Buy and hold-58.1%-100.0%-0.97-0.580.0x1100%
0.000001 0.00001 0.0001 0.001 0.01 0.1 1x 2009 2012 2015 2018 2021 2024 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2009 2012 2015 2018 2021 2024 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -35.9% (2012-04-24 → 2018-12-03), recovered after 2,435 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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