Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Semiconductor Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Semiconductor Bull 3X ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 38.1%, MDD -71.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 36.9%, drawdown -90.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 38.1%, MDD -71.8%, Sharpe 0.83, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 38.1%, MDD -71.8%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=6, slow=144 |
38.1% | -71.8% | 0.83 | 0.53 | 197.4x | 45 | 64% |
| EMA 크로스오버 fast=43, slow=137 |
35.2% | -75.5% | 0.79 | 0.47 | 140.5x | 21 | 65% |
| Donchian 채널 돌파 entryN=38, exitN=67 |
33.6% | -70.9% | 0.77 | 0.47 | 115.1x | 30 | 73% |
| ROC 모멘텀 n=102, threshold=-0.01 |
28.5% | -76.5% | 0.72 | 0.37 | 60.6x | 155 | 65% |
| MACD fast=10, slow=83, signal=23 |
22.1% | -76.0% | 0.63 | 0.29 | 26.2x | 190 | 54% |
| ADX / DI 방향성 period=34, threshold=7 |
19.0% | -58.0% | 0.60 | 0.33 | 17.3x | 240 | 51% |
| Supertrend period=29, mult=4.7 |
18.6% | -64.8% | 0.59 | 0.29 | 16.4x | 70 | 54% |
| 볼린저 밴드 돌파 n=30, k=2.4 |
15.7% | -62.4% | 0.57 | 0.25 | 11.0x | 72 | 26% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=1.1 |
17.2% | -75.4% | 0.57 | 0.23 | 13.5x | 146 | 54% |
| Parabolic SAR step=0.015, maxStep=0.22 |
2.0% | -88.6% | 0.34 | 0.02 | 1.4x | 330 | 54% |
| Buy and hold | 36.9% | -90.5% | 0.81 | 0.41 | 172.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 6-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 6-day average falls below the 144-day average