Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional World ex U.S. Core Equity 2 ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional World ex U.S. Core Equity 2 ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.4%, MDD -11.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.2%, drawdown -31.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -18.0%, Sharpe 0.80, 66% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 8.4%, MDD -11.2%, exposure 71%).
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=26, slow=142 |
9.5% | -18.0% | 0.80 | 0.53 | 1.6x | 5 | 66% |
| EMA 크로스오버 fast=59, slow=90 |
9.0% | -18.0% | 0.76 | 0.50 | 1.5x | 5 | 67% |
| ROC 모멘텀 n=123, threshold=-0.03 |
8.4% | -11.2% | 0.75 | 0.75 | 1.5x | 13 | 71% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=3.7 |
2.5% | -9.0% | 0.45 | 0.28 | 1.1x | 12 | 22% |
| Donchian 채널 돌파 entryN=117, exitN=56 |
3.7% | -12.8% | 0.41 | 0.29 | 1.2x | 8 | 55% |
| ADX / DI 방향성 period=29, threshold=13 |
2.3% | -10.9% | 0.34 | 0.21 | 1.1x | 32 | 32% |
| 볼린저 밴드 돌파 n=26, k=2.8 |
0.3% | -3.2% | 0.15 | 0.10 | 1.0x | 2 | 2% |
| Supertrend period=26, mult=2.9 |
0.4% | -24.2% | 0.09 | 0.01 | 1.0x | 51 | 65% |
| MACD fast=8, slow=37, signal=18 |
-0.5% | -16.5% | -0.01 | -0.03 | 1.0x | 74 | 46% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.1% | -22.0% | -0.05 | -0.05 | 0.9x | 68 | 58% |
| Buy and hold | 6.2% | -31.2% | 0.45 | 0.20 | 1.4x | 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 26-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 26-day average falls below the 142-day average