Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Small Cap Bear 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Small Cap 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 볼린저 밴드 돌파 (CAGR 1.3%, MDD -37.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -50.7%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.4%, MDD -46.4%, Sharpe 0.17, 1% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 52.1%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 1.3%, MDD -37.4%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=10, mult=2.8 |
1.4% | -46.4% | 0.17 | 0.03 | 1.3x | 14 | 1% |
| 볼린저 밴드 돌파 n=14, k=3 |
1.3% | -37.4% | 0.16 | 0.03 | 1.2x | 14 | 2% |
| Donchian 채널 돌파 entryN=86, exitN=4 |
-0.2% | -55.2% | 0.12 | -0.00 | 1.0x | 28 | 3% |
| ADX / DI 방향성 period=19, threshold=28 |
-4.0% | -67.9% | -0.03 | -0.06 | 0.5x | 20 | 4% |
| EMA 크로스오버 fast=11, slow=118 |
-8.9% | -84.7% | -0.05 | -0.11 | 0.2x | 32 | 14% |
| SMA 크로스오버 fast=5, slow=192 |
-10.0% | -87.8% | -0.09 | -0.11 | 0.2x | 40 | 14% |
| ROC 모멘텀 n=39, threshold=0.11 |
-13.6% | -95.8% | -0.17 | -0.14 | 0.1x | 152 | 15% |
| Supertrend period=29, mult=5 |
-16.5% | -98.4% | -0.20 | -0.17 | 0.0x | 52 | 22% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-30.3% | -99.9% | -0.50 | -0.30 | 0.0x | 397 | 38% |
| MACD fast=14, slow=50, signal=9 |
-34.5% | -100.0% | -0.51 | -0.34 | 0.0x | 273 | 54% |
| Buy and hold | -50.7% | -100.0% | -0.65 | -0.51 | 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 10-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average