Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Junior Gold Miners Index Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Junior Gold Miners Index Bull 2X ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.6%, MDD -67.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -33.8%, drawdown -99.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.2%, MDD -74.0%, Sharpe 0.48, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 44.0%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 7.6%, MDD -67.9%, exposure 11%).
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=58, k=0.6 |
10.2% | -74.0% | 0.48 | 0.14 | 3.5x | 85 | 38% |
| ROC 모멘텀 n=125, threshold=-0.04 |
8.4% | -91.7% | 0.46 | 0.09 | 2.8x | 110 | 41% |
| MACD fast=18, slow=30, signal=11 |
-0.3% | -87.8% | 0.41 | -0.00 | 1.0x | 173 | 54% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=25, mult=1.5 |
6.5% | -83.3% | 0.40 | 0.08 | 2.3x | 101 | 29% |
| ADX / DI 방향성 period=38, threshold=17 |
7.6% | -67.9% | 0.39 | 0.11 | 2.6x | 32 | 11% |
| EMA 크로스오버 fast=14, slow=125 |
3.7% | -90.7% | 0.37 | 0.04 | 1.6x | 37 | 32% |
| Supertrend period=15, mult=5 |
-2.1% | -94.6% | 0.30 | -0.02 | 0.8x | 45 | 36% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-6.6% | -95.1% | 0.27 | -0.07 | 0.4x | 310 | 47% |
| SMA 크로스오버 fast=51, slow=196 |
-9.1% | -98.3% | 0.26 | -0.09 | 0.3x | 18 | 34% |
| Donchian 채널 돌파 entryN=38, exitN=35 |
-8.2% | -94.1% | 0.21 | -0.09 | 0.3x | 49 | 41% |
| Buy and hold | -33.8% | -99.9% | 0.27 | -0.34 | 0.0x | 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 58-day average (0.6× volatility)
- Sell — Sell when the close falls back to the 58-day middle average