Trend-Following Backtester · Guide · backtest 한국어
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Direxion Daily Semiconductor Bear 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Semiconductor Bear 3X ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -5.1%, MDD -60.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -71.2%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -5.1%, MDD -60.8%, Sharpe -0.04, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 66.0%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR -5.1%, MDD -60.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=18 |
-5.1% | -60.8% | -0.04 | -0.08 | 0.4x | 18 | 3% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=3.8 |
-10.6% | -84.3% | -0.16 | -0.13 | 0.2x | 18 | 3% |
| Donchian 채널 돌파 entryN=104, exitN=8 |
-10.8% | -87.3% | -0.17 | -0.12 | 0.2x | 18 | 3% |
| SMA 크로스오버 fast=39, slow=150 |
-15.1% | -96.8% | -0.18 | -0.16 | 0.1x | 18 | 11% |
| ROC 모멘텀 n=124, threshold=0.13 |
-12.0% | -91.4% | -0.20 | -0.13 | 0.1x | 74 | 6% |
| 볼린저 밴드 돌파 n=45, k=2.6 |
-15.9% | -94.8% | -0.23 | -0.17 | 0.1x | 30 | 7% |
| Supertrend period=28, mult=4.8 |
-24.6% | -99.4% | -0.25 | -0.25 | 0.0x | 44 | 19% |
| EMA 크로스오버 fast=54, slow=67 |
-19.1% | -97.2% | -0.29 | -0.20 | 0.0x | 20 | 12% |
| MACD fast=15, slow=38, signal=8 |
-53.0% | -100.0% | -0.63 | -0.53 | 0.0x | 263 | 57% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-47.4% | -100.0% | -0.70 | -0.47 | 0.0x | 393 | 37% |
| Buy and hold | -71.2% | -100.0% | -0.87 | -0.71 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)