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 -14.2%, 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 11.0%, MDD -82.2%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.7%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 | 0.58 | 1.6x | 2 | 1% |
| MACD fast=15, slow=34, signal=7 |
11.0% | -82.2% | 0.48 | 0.13 | 3.2x | 188 | 52% |
| Supertrend period=21, mult=2.9 |
8.4% | -60.9% | 0.42 | 0.14 | 2.4x | 90 | 52% |
| ROC 모멘텀 n=125, threshold=-0.01 |
8.2% | -74.3% | 0.41 | 0.11 | 2.4x | 103 | 51% |
| Donchian 채널 돌파 entryN=14, exitN=38 |
3.1% | -82.2% | 0.39 | 0.04 | 1.4x | 49 | 72% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=25, mult=2.4 |
6.6% | -65.4% | 0.35 | 0.10 | 2.0x | 50 | 28% |
| Parabolic SAR step=0.015, maxStep=0.34 |
2.5% | -79.0% | 0.33 | 0.03 | 1.3x | 198 | 51% |
| SMA 크로스오버 fast=48, slow=105 |
0.8% | -80.2% | 0.28 | 0.01 | 1.1x | 35 | 48% |
| EMA 크로스오버 fast=48, slow=79 |
-2.4% | -79.4% | 0.20 | -0.03 | 0.8x | 31 | 46% |
| ADX / DI 방향성 period=50, threshold=11 |
-3.6% | -63.4% | 0.06 | -0.06 | 0.7x | 44 | 17% |
| Buy and hold | -14.2% | -97.9% | 0.31 | -0.15 | 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