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Trend-Following Backtester · Guide · backtest 한국어

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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. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.1%, MDD -16.7%).

Data 2017-05-03 ~ 2026-07-31daily bars 2,324 (9.2 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 5.8%, drawdown -79.5%).

Sharpe leader (same as main): MACD — CAGR 17.9%, MDD -46.9%, Sharpe 0.63, 53% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 6.1%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=15, slow=18, signal=19
17.9%-46.9%0.630.384.6x12653%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=34, mult=2.6
6.1%-16.7%0.570.371.7x2010%
ADX / DI 방향성
period=26, threshold=30
2.6%-10.8%0.480.241.3x22%
SMA 크로스오버
fast=55, slow=268
5.5%-79.5%0.360.071.6x659%
Parabolic SAR
step=0.01, maxStep=0.1
5.3%-59.1%0.330.091.6x13055%
볼린저 밴드 돌파
n=19, k=2.7
3.1%-31.6%0.310.101.3x208%
ROC 모멘텀
n=111, threshold=0.02
2.5%-58.1%0.250.041.3x11060%
EMA 크로스오버
fast=40, slow=215
-2.7%-80.4%0.16-0.030.8x758%
Supertrend
period=13, mult=2
-2.4%-55.8%0.13-0.040.8x14053%
Donchian 채널 돌파
entryN=82, exitN=66
-4.2%-56.3%0.02-0.070.7x1852%
Buy and hold5.8%-79.5%0.390.071.7x1100%
1x 2018 2020 2022 2024 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -60% -80% 2018 2020 2022 2024 2026 Buy and holdMACD
MACD maximum drawdown -46.9% (2017-11-14 → 2019-01-28), recovered after 874 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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