Trend-Following Backtester · Guide · backtest 한국어

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Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X ETF backtest

10 trend-following strategies were compared on the full daily history of Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.7%, MDD -73.7%).

Data 2015-05-29 ~ 2026-07-31daily bars 2,810 (11.2 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -43.0%, drawdown -100.0%).

Sharpe leader (same as main): Supertrend — CAGR 4.1%, MDD -95.0%, Sharpe 0.37, 31% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 6.5%, MDD -88.8%, exposure 8%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.1%p higher than buy and hold, while drawdown improves by 4.9%p (CAGR 0.7%, MDD -73.7%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=18, mult=4.6
4.1%-95.0%0.370.041.6x3831%
볼린저 밴드 돌파
n=23, k=3
6.5%-88.8%0.370.072.0x268%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=13, mult=3.9
0.7%-73.7%0.260.011.1x186%
MACD
fast=19, slow=34, signal=16
-12.4%-97.6%0.22-0.130.2x10853%
SMA 크로스오버
fast=20, slow=254
-5.4%-90.5%0.20-0.060.5x1621%
ROC 모멘텀
n=125, threshold=0.02
-8.3%-96.9%0.20-0.090.4x9827%
ADX / DI 방향성
period=27, threshold=24
-1.5%-76.7%0.17-0.020.8x83%
Parabolic SAR
step=0.045, maxStep=0.14
-10.6%-91.0%0.17-0.120.3x33342%
Donchian 채널 돌파
entryN=9, exitN=27
-22.0%-98.5%0.12-0.220.1x8462%
EMA 크로스오버
fast=11, slow=120
-12.2%-94.9%0.12-0.130.2x3623%
Buy and hold-43.0%-100.0%-0.07-0.430.0x1100%
0.01 0.1 1x 10x 2016 2018 2020 2022 2024 2026 볼린저 밴드 돌파SupertrendBuy and hold
Supertrend (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -25% -50% -75% -100% 2016 2018 2020 2022 2024 2026 Buy and hold볼린저 밴드 돌파Supertrend
Supertrend maximum drawdown -95.0% (2020-03-12 → 2026-07-22), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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