Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily CSI China Internet Index Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily CSI China Internet Index Bull 2X 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 7.9%, MDD -13.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.8%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.9%, MDD -13.0%, Sharpe 0.84, 6% exposure.
CAGR reference leader: Supertrend — CAGR 13.7%, MDD -54.2%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 29.7%p higher than buy and hold, while drawdown improves by 85.4%p (CAGR 7.9%, MDD -13.0%, exposure 6%).
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=29, threshold=34 |
7.9% | -13.0% | 0.84 | 0.61 | 2.1x | 2 | 6% |
| Supertrend period=29, mult=4.7 |
13.7% | -54.2% | 0.52 | 0.25 | 3.5x | 36 | 40% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
7.6% | -57.3% | 0.38 | 0.13 | 2.0x | 44 | 34% |
| EMA 크로스오버 fast=20, slow=40 |
7.3% | -71.4% | 0.38 | 0.10 | 2.0x | 34 | 44% |
| SMA 크로스오버 fast=18, slow=54 |
4.9% | -70.6% | 0.33 | 0.07 | 1.6x | 43 | 47% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=10, mult=3.9 |
5.2% | -46.3% | 0.33 | 0.11 | 1.6x | 20 | 14% |
| Donchian 채널 돌파 entryN=53, exitN=18 |
4.5% | -49.5% | 0.30 | 0.09 | 1.5x | 32 | 29% |
| MACD fast=13, slow=37, signal=19 |
-2.5% | -84.7% | 0.22 | -0.03 | 0.8x | 116 | 52% |
| ROC 모멘텀 n=39, threshold=0.01 |
-0.2% | -82.4% | 0.22 | -0.00 | 1.0x | 139 | 45% |
| Parabolic SAR step=0.04, maxStep=0.34 |
-9.2% | -84.6% | 0.06 | -0.11 | 0.4x | 298 | 49% |
| Buy and hold | -21.8% | -98.4% | 0.08 | -0.22 | 0.1x | 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, 29-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)