Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Technology Bear 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Technology 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 -1.2%, MDD -35.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -58.1%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -1.2%, MDD -35.9%, Sharpe 0.05, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 56.9%p higher than buy and hold, while drawdown improves by 64.1%p (CAGR -1.2%, MDD -35.9%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=24 |
-1.2% | -35.9% | 0.05 | -0.03 | 0.8x | 16 | 2% |
| Donchian 채널 돌파 entryN=113, exitN=24 |
-7.6% | -75.9% | -0.22 | -0.10 | 0.2x | 12 | 4% |
| ROC 모멘텀 n=125, threshold=0.05 |
-9.3% | -83.3% | -0.24 | -0.11 | 0.2x | 52 | 5% |
| SMA 크로스오버 fast=18, slow=210 |
-9.3% | -82.8% | -0.25 | -0.11 | 0.2x | 18 | 6% |
| EMA 크로스오버 fast=30, slow=127 |
-9.8% | -85.0% | -0.29 | -0.12 | 0.2x | 14 | 6% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
-12.4% | -90.5% | -0.30 | -0.14 | 0.1x | 24 | 5% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=17, mult=3.6 |
-11.0% | -87.5% | -0.34 | -0.13 | 0.1x | 22 | 3% |
| Supertrend period=28, mult=4 |
-26.7% | -99.8% | -0.52 | -0.27 | 0.0x | 84 | 20% |
| MACD fast=13, slow=37, signal=13 |
-41.5% | -100.0% | -0.73 | -0.41 | 0.0x | 267 | 54% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-39.5% | -100.0% | -0.81 | -0.40 | 0.0x | 403 | 33% |
| Buy and hold | -58.1% | -100.0% | -0.97 | -0.58 | 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, 26-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)