Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional U.S. Targeted Value ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional U.S. Targeted Value 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 8.8%, drawdown -26.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.7%, MDD -18.9%, Sharpe 0.40, 58% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=231 |
4.7% | -18.9% | 0.40 | 0.25 | 1.3x | 7 | 58% |
| EMA 크로스오버 fast=10, slow=212 |
4.1% | -18.1% | 0.36 | 0.23 | 1.2x | 11 | 60% |
| Supertrend period=18, mult=5 |
2.5% | -21.8% | 0.25 | 0.12 | 1.1x | 17 | 56% |
| ROC 모멘텀 n=112, threshold=-0.04 |
2.7% | -23.9% | 0.24 | 0.11 | 1.1x | 33 | 75% |
| Parabolic SAR step=0.01, maxStep=0.22 |
2.4% | -24.1% | 0.23 | 0.10 | 1.1x | 67 | 58% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
1.1% | -7.5% | 0.22 | 0.15 | 1.1x | 13 | 9% |
| Donchian 채널 돌파 entryN=15, exitN=79 |
1.6% | -37.2% | 0.18 | 0.04 | 1.1x | 13 | 87% |
| MACD fast=7, slow=43, signal=19 |
-2.1% | -26.8% | -0.07 | -0.08 | 0.9x | 81 | 50% |
| ADX / DI 방향성 period=27, threshold=20 |
-0.6% | -10.6% | -0.09 | -0.06 | 1.0x | 10 | 9% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=19, mult=2 |
-2.0% | -18.4% | -0.14 | -0.11 | 0.9x | 37 | 32% |
| Buy and hold | 8.8% | -26.6% | 0.50 | 0.33 | 1.5x | 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 21-day average price crosses above the 231-day average
- Sell — Sell (to cash) when the 21-day average falls below the 231-day average