Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily FTSE China Bear 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily FTSE China 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 0.0%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -39.0%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.0%, MDD -0.5%, Sharpe 0.13, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 39.1%p higher than buy and hold, while drawdown improves by 99.5%p (CAGR 0.0%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=31 |
0.0% | -0.5% | 0.13 | 0.08 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=49, slow=148 |
-8.8% | -89.1% | 0.08 | -0.10 | 0.2x | 23 | 29% |
| MACD fast=19, slow=53, signal=19 |
-19.8% | -98.7% | -0.05 | -0.20 | 0.0x | 152 | 53% |
| EMA 크로스오버 fast=64, slow=79 |
-14.5% | -95.3% | -0.08 | -0.15 | 0.1x | 25 | 25% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
-14.9% | -93.9% | -0.11 | -0.16 | 0.1x | 68 | 20% |
| Supertrend period=9, mult=4.1 |
-20.7% | -98.5% | -0.13 | -0.21 | 0.0x | 100 | 40% |
| Donchian 채널 돌파 entryN=80, exitN=80 |
-19.3% | -98.0% | -0.15 | -0.20 | 0.0x | 25 | 32% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=15, mult=3.1 |
-13.8% | -92.3% | -0.18 | -0.15 | 0.1x | 58 | 11% |
| Parabolic SAR step=0.025, maxStep=0.06 |
-24.6% | -99.5% | -0.22 | -0.25 | 0.0x | 242 | 39% |
| ROC 모멘텀 n=98, threshold=0.07 |
-22.7% | -98.9% | -0.28 | -0.23 | 0.0x | 150 | 25% |
| Buy and hold | -39.0% | -100.0% | -0.22 | -0.39 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)