These Direxion Daily Gold Miners Bear 3X ETF (DUST) signals traded as directed would have performed around 117.8 times better than buy-hold with an ROI of 9504% for the period 11-Aug-16 to 14-Sep-18
These trading signals for DUST were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.
For the 528 day (2.1 year) period from Aug 11 2016 to Sep 14 2018, these signals for Direxion Daily Gold Miners Bear 3X ETF (DUST) traded both long and short would have yielded $950,426 in profits from a $10,000 initial investment, an annualized return of 786.7%. Traded long only (no short selling) the signals would have returned $151,215, an annualized return of 277.8%. 39.4% of time was spent holding stock long. The return would have been $8,065 (an annualized return of 32.7%) if you had bought and held the stock for the same period.
Signals and Trades
Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 111 buy signals and 46 sell signals for this particular DUST strategy .These led to 26 round trip long trades of which 22 were profitable, and 26 short trades of which 19 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.
Drawdown and Reward/Risk
Drawdown (the worst case loss for an single entry and exit into the strategy) was 55% for long-short and 34% for long only. This compares to 73% for buy-hold. The reward/risk for the trading long and short was 13.03 vs. 0.42 for buy-hold, an improvement factor of around 31.0 If traded long only, the reward/risk was 7.21. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.
The backtests assume a commission per trade of $7.