Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily S&P 500 Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily S&P 500 Bull 2X ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -59.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.6%, MDD -47.9%, Sharpe 0.70, 87% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=19, exitN=70 |
15.6% | -47.9% | 0.70 | 0.32 | 6.0x | 27 | 87% |
| SMA 크로스오버 fast=9, slow=194 |
11.9% | -32.6% | 0.63 | 0.37 | 4.0x | 21 | 71% |
| EMA 크로스오버 fast=22, slow=171 |
11.7% | -35.1% | 0.60 | 0.33 | 3.9x | 19 | 73% |
| ROC 모멘텀 n=100, threshold=-0.03 |
10.4% | -37.3% | 0.54 | 0.28 | 3.4x | 61 | 77% |
| Supertrend period=15, mult=4.9 |
7.0% | -30.3% | 0.47 | 0.23 | 2.3x | 61 | 58% |
| 볼린저 밴드 돌파 n=20, k=3 |
0.7% | -8.2% | 0.31 | 0.08 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.4% | -44.6% | 0.26 | 0.08 | 1.5x | 229 | 61% |
| ADX / DI 방향성 period=26, threshold=26 |
0.8% | -14.7% | 0.24 | 0.06 | 1.1x | 8 | 3% |
| MACD fast=19, slow=58, signal=16 |
2.3% | -47.1% | 0.22 | 0.05 | 1.3x | 142 | 53% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=8, mult=2 |
0.9% | -44.4% | 0.14 | 0.02 | 1.1x | 104 | 43% |
| Buy and hold | 17.6% | -59.3% | 0.64 | 0.30 | 7.4x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 70 days