Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional Emerging Core Equity Market ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional Emerging Core Equity Market ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -18.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -34.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.7%, MDD -18.8%, Sharpe 0.62, 48% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 7.7%, MDD -18.8%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=47, slow=330 |
7.7% | -18.8% | 0.62 | 0.41 | 1.5x | 5 | 48% |
| Donchian 채널 돌파 entryN=64, exitN=74 |
6.8% | -14.2% | 0.57 | 0.48 | 1.5x | 5 | 54% |
| SMA 크로스오버 fast=20, slow=162 |
6.5% | -16.7% | 0.54 | 0.39 | 1.4x | 9 | 55% |
| ROC 모멘텀 n=148, threshold=0.09 |
3.0% | -16.7% | 0.32 | 0.18 | 1.2x | 29 | 32% |
| Supertrend period=18, mult=4.7 |
-0.2% | -29.9% | 0.05 | -0.01 | 1.0x | 30 | 53% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
-0.3% | -21.4% | 0.03 | -0.01 | 1.0x | 26 | 37% |
| Parabolic SAR step=0.04, maxStep=0.08 |
-0.9% | -22.5% | -0.01 | -0.04 | 1.0x | 111 | 56% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=1.5 |
-1.1% | -26.3% | -0.04 | -0.04 | 0.9x | 41 | 44% |
| ADX / DI 방향성 period=30, threshold=12 |
-2.7% | -26.8% | -0.26 | -0.10 | 0.9x | 52 | 32% |
| MACD fast=19, slow=50, signal=18 |
-4.9% | -36.4% | -0.36 | -0.13 | 0.8x | 63 | 47% |
| Buy and hold | 7.7% | -34.7% | 0.49 | 0.22 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 330-day EMA
- Sell — Sell when the 47-day EMA falls below the 330-day EMA