Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers SHORTDAX X2 DAILY UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers SHORTDAX X2 DAILY UCITS ETF Capitalisation 1C. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -31.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.6%, drawdown -99.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.8%, MDD -32.1%, Sharpe 0.13, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.4%p higher than buy and hold, while drawdown improves by 67.0%p (CAGR 0.5%, MDD -31.6%, exposure 1%).
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=6, atrPeriod=20, mult=3.3 |
0.8% | -32.1% | 0.13 | 0.03 | 1.1x | 8 | 1% |
| ADX / DI 방향성 period=14, threshold=39 |
0.5% | -31.6% | 0.10 | 0.02 | 1.1x | 8 | 1% |
| Donchian 채널 돌파 entryN=114, exitN=6 |
-2.8% | -51.4% | -0.09 | -0.05 | 0.6x | 32 | 4% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
-3.4% | -67.9% | -0.10 | -0.05 | 0.6x | 22 | 6% |
| ROC 모멘텀 n=115, threshold=0.1 |
-7.0% | -81.6% | -0.20 | -0.09 | 0.3x | 78 | 13% |
| Supertrend period=28, mult=4.8 |
-8.8% | -83.9% | -0.23 | -0.10 | 0.2x | 66 | 27% |
| SMA 크로스오버 fast=14, slow=208 |
-8.7% | -83.7% | -0.27 | -0.10 | 0.2x | 28 | 19% |
| EMA 크로스오버 fast=25, slow=128 |
-9.4% | -86.7% | -0.30 | -0.11 | 0.2x | 32 | 18% |
| MACD fast=16, slow=55, signal=18 |
-15.7% | -94.5% | -0.40 | -0.17 | 0.1x | 170 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-16.3% | -96.2% | -0.49 | -0.17 | 0.1x | 161 | 37% |
| Buy and hold | -24.6% | -99.1% | -0.53 | -0.25 | 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 6-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average