Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional US Core Equity Market ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional US Core Equity Market ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -24.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -15.9%, Sharpe 0.84, 66% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.9%, MDD -14.9%, exposure 71%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=25, slow=205 |
8.9% | -15.9% | 0.84 | 0.56 | 1.6x | 5 | 66% |
| EMA 크로스오버 fast=51, slow=122 |
8.9% | -14.9% | 0.83 | 0.60 | 1.6x | 7 | 71% |
| Donchian 채널 돌파 entryN=79, exitN=62 |
7.9% | -14.1% | 0.80 | 0.56 | 1.5x | 9 | 65% |
| Supertrend period=14, mult=5 |
7.1% | -17.3% | 0.73 | 0.41 | 1.5x | 19 | 63% |
| ROC 모멘텀 n=156, threshold=0.06 |
6.1% | -13.9% | 0.66 | 0.44 | 1.4x | 29 | 57% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=27, mult=2.9 |
2.0% | -5.5% | 0.49 | 0.36 | 1.1x | 14 | 17% |
| ADX / DI 방향성 period=20, threshold=25 |
1.3% | -4.9% | 0.41 | 0.26 | 1.1x | 8 | 8% |
| 볼린저 밴드 돌파 n=33, k=3 |
0.6% | -3.1% | 0.35 | 0.20 | 1.0x | 2 | 3% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.8% | -23.1% | 0.30 | 0.12 | 1.2x | 57 | 66% |
| MACD fast=16, slow=55, signal=14 |
0.1% | -22.7% | 0.06 | 0.01 | 1.0x | 68 | 48% |
| Buy and hold | 13.7% | -24.3% | 0.86 | 0.56 | 2.1x | 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 25-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 25-day average falls below the 205-day average