Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion NASDAQ-100 Equal Weighted Index ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion NASDAQ-100 Equal Weighted Index ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.1%, MDD -23.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -34.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.1%, MDD -23.7%, Sharpe 0.76, 79% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.7%, MDD -37.4%, exposure 93%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 11.1%p (CAGR 10.1%, MDD -23.7%, exposure 79%).
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=7, slow=210 |
10.1% | -23.7% | 0.76 | 0.43 | 4.0x | 27 | 79% |
| ROC 모멘텀 n=114, threshold=-0.12 |
11.7% | -37.4% | 0.72 | 0.31 | 4.9x | 31 | 93% |
| SMA 크로스오버 fast=56, slow=200 |
10.7% | -30.9% | 0.72 | 0.35 | 4.4x | 11 | 78% |
| Donchian 채널 돌파 entryN=22, exitN=55 |
9.6% | -34.3% | 0.70 | 0.28 | 3.8x | 33 | 84% |
| Supertrend period=24, mult=5 |
5.6% | -24.4% | 0.50 | 0.23 | 2.2x | 65 | 68% |
| 볼린저 밴드 돌파 n=27, k=3.4 |
0.4% | -4.2% | 0.29 | 0.09 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=1.8 |
1.2% | -29.5% | 0.16 | 0.04 | 1.2x | 109 | 59% |
| MACD fast=22, slow=45, signal=25 |
0.1% | -31.0% | 0.06 | 0.00 | 1.0x | 143 | 52% |
| ADX / DI 방향성 period=34, threshold=10 |
-0.9% | -39.2% | -0.04 | -0.02 | 0.9x | 153 | 43% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.4% | -44.0% | -0.05 | -0.03 | 0.8x | 269 | 63% |
| Buy and hold | 13.3% | -34.8% | 0.74 | 0.38 | 6.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 210-day EMA
- Sell — Sell when the 7-day EMA falls below the 210-day EMA