Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily S&P Oil & Gas Exp. & Prod. 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 0.9%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -41.8%, drawdown -100.0%).
Sharpe leader (same as main): MACD — CAGR 13.3%, MDD -80.9%, Sharpe 0.52, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 55.1%p higher than buy and hold, while drawdown improves by 19.1%p (CAGR 0.9%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=47, signal=9 |
13.3% | -80.9% | 0.52 | 0.16 | 4.1x | 151 | 54% |
| SMA 크로스오버 fast=60, slow=203 |
8.6% | -71.2% | 0.42 | 0.12 | 2.5x | 11 | 45% |
| Parabolic SAR step=0.05, maxStep=0.16 |
6.3% | -77.3% | 0.41 | 0.08 | 2.0x | 372 | 49% |
| 볼린저 밴드 돌파 n=41, k=3 |
5.6% | -57.7% | 0.34 | 0.10 | 1.8x | 10 | 8% |
| Donchian 채널 돌파 entryN=14, exitN=7 |
4.3% | -78.0% | 0.34 | 0.06 | 1.6x | 111 | 36% |
| ADX / DI 방향성 period=36, threshold=31 |
0.9% | -0.5% | 0.28 | 1.73 | 1.1x | 2 | 0% |
| EMA 크로스오버 fast=12, slow=49 |
1.6% | -80.9% | 0.28 | 0.02 | 1.2x | 55 | 42% |
| ROC 모멘텀 n=125, threshold=0.02 |
-1.3% | -74.4% | 0.22 | -0.02 | 0.9x | 93 | 43% |
| Supertrend period=7, mult=3.6 |
-4.5% | -85.7% | 0.18 | -0.05 | 0.6x | 65 | 41% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=0.9 |
-8.1% | -81.6% | 0.05 | -0.10 | 0.4x | 157 | 32% |
| Buy and hold | -41.8% | -100.0% | -0.02 | -0.42 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/47) crosses above its 9-day signal line
- Sell — Sell when the MACD line crosses back below the signal line