Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Gold Miners Index Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Gold Miners Index Bull 2X ETF. 10 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 2.4%, MDD -18.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.7%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -63.0%, Sharpe 0.36, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 38.4%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 2.4%, MDD -18.8%, 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=155, exitN=36 |
6.6% | -63.0% | 0.36 | 0.10 | 2.7x | 12 | 16% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
2.7% | -19.2% | 0.33 | 0.14 | 1.5x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=1.2 |
2.0% | -76.6% | 0.29 | 0.03 | 1.4x | 109 | 32% |
| EMA 크로스오버 fast=7, slow=80 |
1.1% | -89.3% | 0.29 | 0.01 | 1.2x | 67 | 36% |
| ADX / DI 방향성 period=19, threshold=37 |
2.4% | -18.8% | 0.27 | 0.13 | 1.4x | 6 | 1% |
| Supertrend period=14, mult=4.8 |
-2.5% | -93.3% | 0.24 | -0.03 | 0.7x | 53 | 41% |
| SMA 크로스오버 fast=11, slow=61 |
-4.1% | -92.4% | 0.22 | -0.04 | 0.5x | 71 | 42% |
| ROC 모멘텀 n=125, threshold=0.04 |
-5.9% | -92.2% | 0.16 | -0.06 | 0.4x | 154 | 34% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-8.7% | -87.2% | 0.15 | -0.10 | 0.2x | 135 | 44% |
| MACD fast=15, slow=24, signal=9 |
-12.6% | -94.3% | 0.15 | -0.13 | 0.1x | 283 | 54% |
| Buy and hold | -31.7% | -100.0% | 0.12 | -0.32 | 0.0x | 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 155 days
- Sell — Sell when price breaks below the lowest low of the last 36 days