Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily 20-Yr Treasury Bull 3x Shrs backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily 20-Yr Treasury Bull 3x Shrs. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -42.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.6%, drawdown -94.1%).
Sharpe leader (same as main): MACD — CAGR 6.5%, MDD -55.7%, Sharpe 0.36, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 3.5%, MDD -42.0%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=36, slow=46, signal=26 |
6.5% | -55.7% | 0.36 | 0.12 | 3.0x | 100 | 50% |
| SMA 크로스오버 fast=18, slow=185 |
5.3% | -58.3% | 0.32 | 0.09 | 2.5x | 32 | 44% |
| 볼린저 밴드 돌파 n=29, k=2.8 |
3.5% | -42.0% | 0.28 | 0.08 | 1.8x | 32 | 10% |
| Donchian 채널 돌파 entryN=118, exitN=45 |
3.8% | -54.2% | 0.27 | 0.07 | 1.9x | 24 | 29% |
| EMA 크로스오버 fast=59, slow=185 |
3.7% | -57.3% | 0.27 | 0.06 | 1.9x | 18 | 38% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=3.8 |
2.1% | -51.7% | 0.20 | 0.04 | 1.4x | 42 | 16% |
| ROC 모멘텀 n=90, threshold=0.06 |
1.0% | -64.2% | 0.18 | 0.02 | 1.2x | 168 | 38% |
| ADX / DI 방향성 period=39, threshold=11 |
1.1% | -61.0% | 0.17 | 0.02 | 1.2x | 96 | 31% |
| Supertrend period=11, mult=4.9 |
0.3% | -67.8% | 0.16 | 0.00 | 1.1x | 58 | 42% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.8% | -76.2% | -0.01 | -0.06 | 0.4x | 146 | 45% |
| Buy and hold | -8.6% | -94.1% | 0.02 | -0.09 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (36/46) crosses above its 26-day signal line
- Sell — Sell when the MACD line crosses back below the signal line