Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Small Cap Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Small Cap Bull 3X ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.5%, MDD -65.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.6%, drawdown -88.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -78.7%, Sharpe 0.56, 84% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 9.5%p (CAGR 13.5%, MDD -65.8%, exposure 62%).
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=33, exitN=100 |
16.8% | -78.7% | 0.56 | 0.21 | 15.6x | 27 | 84% |
| EMA 크로스오버 fast=28, slow=159 |
13.5% | -65.8% | 0.51 | 0.21 | 9.4x | 31 | 62% |
| SMA 크로스오버 fast=42, slow=93 |
9.4% | -78.8% | 0.43 | 0.12 | 4.9x | 51 | 62% |
| MACD fast=14, slow=28, signal=19 |
8.8% | -68.6% | 0.41 | 0.13 | 4.5x | 244 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
4.5% | -66.9% | 0.33 | 0.07 | 2.2x | 340 | 55% |
| ROC 모멘텀 n=147, threshold=0.03 |
4.3% | -69.1% | 0.31 | 0.06 | 2.1x | 151 | 57% |
| Supertrend period=8, mult=2.2 |
3.3% | -82.8% | 0.29 | 0.04 | 1.8x | 216 | 55% |
| ADX / DI 방향성 period=27, threshold=29 |
1.5% | -18.2% | 0.24 | 0.08 | 1.3x | 4 | 1% |
| 볼린저 밴드 돌파 n=11, k=2 |
0.6% | -56.7% | 0.14 | 0.01 | 1.1x | 184 | 21% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=24, mult=1.2 |
-4.3% | -89.8% | 0.06 | -0.05 | 0.5x | 176 | 49% |
| Buy and hold | 14.6% | -88.2% | 0.55 | 0.17 | 11.1x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 100 days