Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional International Core Equity Market ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional International Core Equity Market ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.6%, MDD -14.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -29.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -14.6%, Sharpe 0.70, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 14.9%p (CAGR 7.6%, MDD -14.6%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=193 |
7.6% | -14.6% | 0.70 | 0.52 | 1.5x | 7 | 61% |
| EMA 크로스오버 fast=28, slow=111 |
6.8% | -16.5% | 0.61 | 0.41 | 1.5x | 9 | 68% |
| ROC 모멘텀 n=162, threshold=-0.08 |
6.9% | -18.2% | 0.58 | 0.38 | 1.5x | 11 | 78% |
| ADX / DI 방향성 period=44, threshold=11 |
2.5% | -8.8% | 0.38 | 0.29 | 1.2x | 18 | 29% |
| Donchian 채널 돌파 entryN=48, exitN=101 |
3.8% | -18.2% | 0.37 | 0.21 | 1.2x | 9 | 79% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=3.7 |
2.2% | -9.1% | 0.35 | 0.24 | 1.1x | 16 | 31% |
| 볼린저 밴드 돌파 n=64, k=1.6 |
0.3% | -16.3% | 0.08 | 0.02 | 1.0x | 25 | 44% |
| Supertrend period=20, mult=3.3 |
-0.2% | -30.1% | 0.04 | -0.01 | 1.0x | 53 | 67% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.4% | -30.3% | -0.17 | -0.08 | 0.9x | 57 | 61% |
| MACD fast=9, slow=41, signal=16 |
-4.0% | -23.9% | -0.38 | -0.17 | 0.8x | 92 | 48% |
| Buy and hold | 9.7% | -29.5% | 0.67 | 0.33 | 1.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 37-day average falls below the 193-day average