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 13.9%, drawdown -24.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -15.9%, Sharpe 0.87, 66% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.2%, 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 |
9.2% | -15.9% | 0.87 | 0.58 | 1.7x | 5 | 66% |
| EMA 크로스오버 fast=51, slow=122 |
9.2% | -14.9% | 0.85 | 0.62 | 1.7x | 7 | 71% |
| Donchian 채널 돌파 entryN=79, exitN=62 |
8.2% | -14.1% | 0.83 | 0.58 | 1.6x | 9 | 66% |
| Supertrend period=14, mult=5 |
7.4% | -17.3% | 0.76 | 0.43 | 1.5x | 19 | 63% |
| ROC 모멘텀 n=156, threshold=0.06 |
6.4% | -13.9% | 0.69 | 0.46 | 1.4x | 29 | 58% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=27, mult=2.9 |
2.0% | -5.5% | 0.48 | 0.36 | 1.1x | 14 | 16% |
| ADX / DI 방향성 period=20, threshold=25 |
1.3% | -4.9% | 0.41 | 0.26 | 1.1x | 8 | 8% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.1% | -23.1% | 0.34 | 0.14 | 1.2x | 57 | 66% |
| 볼린저 밴드 돌파 n=33, k=3 |
0.4% | -4.6% | 0.21 | 0.09 | 1.0x | 3 | 4% |
| MACD fast=16, slow=55, signal=14 |
-0.2% | -22.7% | 0.03 | -0.01 | 1.0x | 70 | 48% |
| Buy and hold | 13.9% | -24.3% | 0.87 | 0.57 | 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