Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Emerging Markets Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Emerging Markets Bull 3X ETF. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -16.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -93.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -73.1%, Sharpe 0.36, 62% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.4%, MDD -77.6%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 0.0%, MDD -16.2%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=42, exitN=73 |
6.1% | -73.1% | 0.36 | 0.08 | 2.8x | 36 | 62% |
| EMA 크로스오버 fast=24, slow=35 |
6.4% | -77.6% | 0.36 | 0.08 | 3.0x | 80 | 51% |
| SMA 크로스오버 fast=46, slow=72 |
6.1% | -73.8% | 0.36 | 0.08 | 2.8x | 59 | 53% |
| ROC 모멘텀 n=77, threshold=0.02 |
4.3% | -74.7% | 0.31 | 0.06 | 2.1x | 175 | 50% |
| Supertrend period=23, mult=5 |
2.2% | -77.8% | 0.26 | 0.03 | 1.5x | 74 | 49% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
1.3% | -76.3% | 0.22 | 0.02 | 1.3x | 106 | 41% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=1.2 |
-1.1% | -72.6% | 0.15 | -0.02 | 0.8x | 178 | 42% |
| MACD fast=6, slow=38, signal=10 |
-6.1% | -95.4% | 0.08 | -0.06 | 0.3x | 404 | 51% |
| ADX / DI 방향성 period=30, threshold=25 |
0.0% | -16.2% | 0.03 | 0.00 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-8.6% | -93.9% | 0.01 | -0.09 | 0.2x | 412 | 52% |
| Buy and hold | -0.9% | -93.1% | 0.33 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 42 days
- Sell — Sell when price breaks below the lowest low of the last 73 days