Trend-Following Backtester · Guide · backtest 한국어

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Direxion Energy Bull 2X ETF backtest

10 trend-following strategies were compared on the full daily history of Direxion Energy Bull 2X ETF. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -27.3%).

Data 2008-11-19 ~ 2026-07-31daily bars 4,450 (17.7 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -8.0%, drawdown -99.6%).

Sharpe leader (same as main): MACD — CAGR 9.3%, MDD -74.7%, Sharpe 0.42, 54% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 2.7%, MDD -27.3%, exposure 7%).

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
MACD
fast=25, slow=54, signal=4
9.3%-74.7%0.420.124.8x31154%
볼린저 밴드 돌파
n=39, k=2.9
5.7%-42.2%0.380.142.7x2211%
SMA 크로스오버
fast=37, slow=81
7.3%-66.3%0.380.113.5x5653%
Keltner 채널 돌파
emaPeriod=23, atrPeriod=19, mult=3.4
4.0%-33.9%0.340.122.0x268%
Donchian 채널 돌파
entryN=21, exitN=64
3.6%-78.5%0.320.051.9x5371%
ROC 모멘텀
n=123, threshold=0.06
3.8%-77.2%0.290.051.9x18747%
ADX / DI 방향성
period=27, threshold=23
2.7%-27.3%0.270.101.6x267%
Supertrend
period=8, mult=4
0.1%-84.4%0.200.001.0x8546%
EMA 크로스오버
fast=49, slow=152
0.2%-68.5%0.200.001.0x2950%
Parabolic SAR
step=0.035, maxStep=0.38
-6.0%-93.3%0.10-0.060.3x57453%
Buy and hold-8.0%-99.6%0.26-0.080.2x1100%
0.1 1x 2009 2012 2015 2018 2021 2024 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2009 2012 2015 2018 2021 2024 Buy and holdMACD
MACD maximum drawdown -74.7% (2014-06-23 → 2017-07-07), recovered after 2,174 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

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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