Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily Utilities Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily Utilities Bull 3X ETF. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.0%, MDD -16.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.9%, drawdown -79.5%).
Sharpe leader (same as main): MACD — CAGR 17.8%, MDD -46.9%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 6.0%, MDD -16.7%, 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=15, slow=18, signal=19 |
17.8% | -46.9% | 0.63 | 0.38 | 4.6x | 126 | 52% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=34, mult=2.6 |
6.0% | -16.7% | 0.56 | 0.36 | 1.7x | 20 | 10% |
| ADX / DI 방향성 period=26, threshold=30 |
2.6% | -10.8% | 0.47 | 0.24 | 1.3x | 2 | 2% |
| SMA 크로스오버 fast=55, slow=268 |
5.5% | -79.5% | 0.36 | 0.07 | 1.6x | 6 | 58% |
| Parabolic SAR step=0.01, maxStep=0.1 |
5.3% | -59.1% | 0.32 | 0.09 | 1.6x | 130 | 55% |
| 볼린저 밴드 돌파 n=19, k=2.7 |
3.1% | -31.6% | 0.31 | 0.10 | 1.3x | 20 | 8% |
| ROC 모멘텀 n=111, threshold=0.02 |
2.5% | -58.1% | 0.25 | 0.04 | 1.3x | 110 | 59% |
| EMA 크로스오버 fast=40, slow=215 |
-3.4% | -80.4% | 0.14 | -0.04 | 0.7x | 8 | 57% |
| Supertrend period=13, mult=2 |
-2.4% | -55.8% | 0.13 | -0.04 | 0.8x | 140 | 53% |
| Donchian 채널 돌파 entryN=82, exitN=66 |
-4.2% | -56.3% | 0.02 | -0.07 | 0.7x | 18 | 51% |
| Buy and hold | 3.9% | -79.5% | 0.36 | 0.05 | 1.4x | 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 (15/18) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line