Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Regional Banks Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Regional Banks Bull 3X ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.5%, MDD -7.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.5%, drawdown -97.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -7.6%, Sharpe 0.61, 1% exposure.
CAGR reference leader: MACD — CAGR 12.0%, MDD -82.2%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 90.2%p (CAGR 4.5%, MDD -7.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.5 |
4.5% | -7.6% | 0.61 | 0.59 | 1.6x | 2 | 1% |
| MACD fast=15, slow=34, signal=7 |
12.0% | -82.2% | 0.49 | 0.15 | 3.5x | 184 | 52% |
| ROC 모멘텀 n=125, threshold=-0.01 |
9.4% | -74.3% | 0.43 | 0.13 | 2.7x | 103 | 51% |
| Supertrend period=21, mult=2.9 |
9.4% | -60.9% | 0.43 | 0.15 | 2.7x | 89 | 51% |
| Donchian 채널 돌파 entryN=14, exitN=38 |
4.2% | -82.2% | 0.41 | 0.05 | 1.6x | 49 | 71% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=25, mult=2.4 |
7.2% | -65.4% | 0.37 | 0.11 | 2.1x | 49 | 27% |
| Parabolic SAR step=0.015, maxStep=0.34 |
3.0% | -79.0% | 0.34 | 0.04 | 1.4x | 197 | 51% |
| SMA 크로스오버 fast=48, slow=105 |
1.8% | -80.2% | 0.30 | 0.02 | 1.2x | 35 | 48% |
| EMA 크로스오버 fast=48, slow=79 |
-1.4% | -79.4% | 0.22 | -0.02 | 0.9x | 31 | 46% |
| ADX / DI 방향성 period=50, threshold=11 |
-2.8% | -61.4% | 0.08 | -0.05 | 0.7x | 42 | 17% |
| Buy and hold | -13.5% | -97.9% | 0.32 | -0.14 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 14-day middle average