Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Brazil Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Brazil Bull 2X ETF. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.4%, MDD -54.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.4%, drawdown -99.7%).
Sharpe leader (same as main): MACD — CAGR 16.3%, MDD -78.7%, Sharpe 0.56, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 47.6%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 12.4%, MDD -54.1%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=49, signal=12 |
16.3% | -78.7% | 0.56 | 0.21 | 7.4x | 143 | 51% |
| 볼린저 밴드 돌파 n=22, k=2.1 |
12.4% | -54.1% | 0.50 | 0.23 | 4.7x | 93 | 26% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=1.7 |
10.8% | -58.0% | 0.47 | 0.19 | 3.9x | 110 | 29% |
| Supertrend period=8, mult=3.4 |
8.7% | -68.9% | 0.43 | 0.13 | 3.0x | 85 | 44% |
| SMA 크로스오버 fast=11, slow=27 |
7.1% | -74.8% | 0.40 | 0.09 | 2.5x | 127 | 46% |
| ROC 모멘텀 n=32, threshold=0.07 |
5.6% | -74.0% | 0.36 | 0.08 | 2.1x | 193 | 37% |
| Donchian 채널 돌파 entryN=29, exitN=11 |
4.8% | -69.7% | 0.33 | 0.07 | 1.9x | 83 | 31% |
| Parabolic SAR step=0.045, maxStep=0.08 |
1.4% | -85.1% | 0.30 | 0.02 | 1.2x | 262 | 47% |
| EMA 크로스오버 fast=15, slow=18 |
0.7% | -77.8% | 0.28 | 0.01 | 1.1x | 103 | 44% |
| ADX / DI 방향성 period=14, threshold=12 |
1.1% | -68.8% | 0.28 | 0.02 | 1.2x | 269 | 42% |
| Buy and hold | -31.4% | -99.7% | 0.03 | -0.31 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/49) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line