Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional U.S. Core Equity 2 ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional U.S. Core Equity 2 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 9.0%, MDD -11.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -23.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -11.4%, Sharpe 0.87, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 12.4%p (CAGR 9.0%, MDD -11.4%, exposure 65%).
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=28, slow=179 |
9.0% | -11.4% | 0.87 | 0.79 | 1.6x | 5 | 65% |
| EMA 크로스오버 fast=31, slow=178 |
8.3% | -11.4% | 0.82 | 0.72 | 1.5x | 7 | 63% |
| Supertrend period=25, mult=4.8 |
6.7% | -17.0% | 0.70 | 0.39 | 1.4x | 17 | 61% |
| ROC 모멘텀 n=116, threshold=-0.05 |
6.8% | -19.5% | 0.57 | 0.35 | 1.4x | 17 | 80% |
| Donchian 채널 돌파 entryN=76, exitN=67 |
5.1% | -16.2% | 0.54 | 0.32 | 1.3x | 9 | 62% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.7% | -25.1% | 0.38 | 0.15 | 1.2x | 47 | 66% |
| ADX / DI 방향성 period=20, threshold=27 |
1.1% | -4.4% | 0.35 | 0.24 | 1.1x | 6 | 7% |
| MACD fast=18, slow=48, signal=18 |
1.6% | -22.1% | 0.21 | 0.07 | 1.1x | 56 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=3.7 |
0.7% | -9.2% | 0.13 | 0.07 | 1.0x | 15 | 31% |
| 볼린저 밴드 돌파 n=20, k=2.8 |
0.3% | -6.1% | 0.12 | 0.05 | 1.0x | 8 | 7% |
| Buy and hold | 10.6% | -23.9% | 0.68 | 0.44 | 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 28-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 28-day average falls below the 179-day average