Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily 20-Year Treasury Bear 3X backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily 20-Year Treasury Bear 3X. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -20.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.4%, drawdown -99.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -35.5%, Sharpe 0.25, 12% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.2%p higher than buy and hold, while drawdown improves by 63.6%p (CAGR 1.9%, MDD -20.4%, exposure 4%).
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=138, exitN=19 |
2.8% | -35.5% | 0.25 | 0.08 | 1.6x | 23 | 12% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
1.9% | -20.4% | 0.24 | 0.09 | 1.4x | 10 | 4% |
| SMA 크로스오버 fast=13, slow=51 |
1.0% | -58.8% | 0.18 | 0.02 | 1.2x | 97 | 42% |
| EMA 크로스오버 fast=42, slow=61 |
0.2% | -57.8% | 0.14 | 0.00 | 1.0x | 39 | 36% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=3.1 |
-0.2% | -52.4% | 0.09 | -0.00 | 1.0x | 50 | 18% |
| MACD fast=16, slow=85, signal=27 |
-2.9% | -84.5% | 0.06 | -0.03 | 0.6x | 126 | 54% |
| ADX / DI 방향성 period=17, threshold=22 |
-1.1% | -42.6% | 0.03 | -0.03 | 0.8x | 82 | 13% |
| Supertrend period=19, mult=4.1 |
-4.3% | -89.7% | 0.01 | -0.05 | 0.5x | 75 | 43% |
| ROC 모멘텀 n=57, threshold=0.06 |
-4.7% | -67.8% | -0.07 | -0.07 | 0.4x | 202 | 29% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-12.6% | -96.0% | -0.28 | -0.13 | 0.1x | 300 | 47% |
| Buy and hold | -15.4% | -99.1% | -0.15 | -0.16 | 0.1x | 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 138 days
- Sell — Sell when price breaks below the lowest low of the last 19 days