Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily S&P Biotech Bear 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily S&P Biotech Bear 3X ETF. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -3.7%, MDD -61.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -56.7%, drawdown -100.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -7.0%, MDD -81.5%, Sharpe 0.13, 18% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR -3.7%, MDD -61.1%, exposure 2%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 49.6%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR -3.7%, MDD -61.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=117, threshold=0.1 |
-7.0% | -81.5% | 0.13 | -0.09 | 0.4x | 66 | 18% |
| SMA 크로스오버 fast=33, slow=219 |
-6.1% | -80.2% | 0.11 | -0.08 | 0.5x | 12 | 16% |
| EMA 크로스오버 fast=8, slow=130 |
-10.1% | -86.9% | 0.08 | -0.12 | 0.3x | 22 | 18% |
| Supertrend period=25, mult=4.1 |
-15.1% | -93.1% | 0.04 | -0.16 | 0.2x | 38 | 26% |
| Donchian 채널 돌파 entryN=11, exitN=32 |
-28.6% | -99.0% | -0.02 | -0.29 | 0.0x | 62 | 55% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=16, mult=3 |
-3.7% | -61.1% | -0.04 | -0.06 | 0.7x | 10 | 2% |
| ADX / DI 방향성 period=20, threshold=20 |
-19.6% | -95.6% | -0.08 | -0.21 | 0.1x | 54 | 18% |
| 볼린저 밴드 돌파 n=19, k=2.4 |
-15.4% | -92.3% | -0.12 | -0.17 | 0.2x | 64 | 14% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-30.0% | -99.2% | -0.18 | -0.30 | 0.0x | 261 | 41% |
| MACD fast=9, slow=69, signal=12 |
-35.6% | -99.7% | -0.19 | -0.36 | 0.0x | 162 | 54% |
| Buy and hold | -56.7% | -100.0% | -0.35 | -0.57 | 0.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 117-day return is greater than 10%
- Sell — Sell when the 117-day return drops to 10% or below