Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional U.S. Small Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional U.S. Small Cap ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -27.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -28.0%, Sharpe 0.39, 84% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=94 |
5.3% | -28.0% | 0.39 | 0.19 | 1.3x | 9 | 84% |
| Supertrend period=25, mult=4.4 |
3.9% | -16.4% | 0.34 | 0.24 | 1.2x | 19 | 60% |
| EMA 크로스오버 fast=43, slow=189 |
3.6% | -18.3% | 0.33 | 0.19 | 1.2x | 7 | 55% |
| SMA 크로스오버 fast=26, slow=169 |
3.2% | -17.7% | 0.30 | 0.18 | 1.2x | 9 | 57% |
| ROC 모멘텀 n=121, threshold=-0.08 |
2.4% | -26.2% | 0.22 | 0.09 | 1.1x | 19 | 80% |
| 볼린저 밴드 돌파 n=16, k=3.1 |
0.1% | -6.9% | 0.06 | 0.02 | 1.0x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=1.9 |
-0.8% | -21.7% | -0.01 | -0.04 | 1.0x | 31 | 45% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.0% | -27.1% | -0.08 | -0.07 | 0.9x | 50 | 57% |
| ADX / DI 방향성 period=22, threshold=25 |
-0.3% | -6.4% | -0.08 | -0.04 | 1.0x | 2 | 3% |
| MACD fast=18, slow=42, signal=15 |
-2.5% | -33.9% | -0.13 | -0.07 | 0.9x | 64 | 49% |
| Buy and hold | 6.3% | -27.3% | 0.40 | 0.23 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 23 days
- Sell — Sell when price breaks below the lowest low of the last 94 days