Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily FTSE China Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily FTSE China Bull 3X ETF. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -48.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.0%, drawdown -99.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.3%, MDD -72.1%, Sharpe 0.26, 43% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 2.0%, MDD -48.2%, exposure 7%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.3%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 2.0%, MDD -48.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=40 |
1.3% | -72.1% | 0.26 | 0.02 | 1.2x | 55 | 43% |
| Supertrend period=29, mult=4.9 |
1.0% | -76.5% | 0.23 | 0.01 | 1.2x | 65 | 39% |
| SMA 크로스오버 fast=13, slow=90 |
-0.4% | -76.2% | 0.22 | -0.01 | 0.9x | 56 | 43% |
| Donchian 채널 돌파 entryN=89, exitN=78 |
-1.3% | -86.4% | 0.21 | -0.02 | 0.8x | 22 | 46% |
| ADX / DI 방향성 period=8, threshold=40 |
2.0% | -48.2% | 0.20 | 0.04 | 1.4x | 70 | 7% |
| 볼린저 밴드 돌파 n=65, k=1.4 |
-0.5% | -60.1% | 0.18 | -0.01 | 0.9x | 68 | 32% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.3% | -92.8% | 0.16 | -0.05 | 0.5x | 137 | 48% |
| ROC 모멘텀 n=244, threshold=-0.01 |
-3.1% | -86.8% | 0.15 | -0.04 | 0.6x | 98 | 41% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=24, mult=2.8 |
-0.5% | -72.7% | 0.14 | -0.01 | 0.9x | 74 | 19% |
| MACD fast=29, slow=41, signal=23 |
-6.9% | -95.7% | 0.13 | -0.07 | 0.3x | 141 | 54% |
| Buy and hold | -18.0% | -99.0% | 0.13 | -0.18 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 40-day EMA
- Sell — Sell when the 39-day EMA falls below the 40-day EMA