Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional International Value ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional International Value ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.9%, MDD -15.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.5%, drawdown -27.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -15.0%, Sharpe 0.91, 68% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.1%, MDD -20.0%, exposure 86%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 12.5%p (CAGR 10.9%, MDD -15.0%, exposure 68%).
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=14, slow=165 |
10.9% | -15.0% | 0.91 | 0.73 | 1.7x | 5 | 68% |
| EMA 크로스오버 fast=42, slow=122 |
10.6% | -15.0% | 0.88 | 0.71 | 1.7x | 5 | 70% |
| ROC 모멘텀 n=94, threshold=-0.09 |
11.1% | -20.0% | 0.80 | 0.56 | 1.7x | 15 | 86% |
| Donchian 채널 돌파 entryN=33, exitN=70 |
7.0% | -21.9% | 0.58 | 0.32 | 1.4x | 9 | 75% |
| MACD fast=10, slow=35, signal=15 |
4.2% | -15.9% | 0.46 | 0.26 | 1.2x | 72 | 49% |
| Supertrend period=24, mult=2.6 |
4.7% | -22.7% | 0.44 | 0.21 | 1.3x | 58 | 69% |
| ADX / DI 방향성 period=37, threshold=15 |
2.2% | -9.3% | 0.43 | 0.24 | 1.1x | 10 | 18% |
| 볼린저 밴드 돌파 n=53, k=2.4 |
2.1% | -8.3% | 0.36 | 0.25 | 1.1x | 12 | 25% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=1.9 |
2.5% | -19.3% | 0.30 | 0.13 | 1.1x | 34 | 54% |
| Parabolic SAR step=0.04, maxStep=0.04 |
2.5% | -20.3% | 0.28 | 0.13 | 1.1x | 54 | 66% |
| Buy and hold | 10.5% | -27.6% | 0.69 | 0.38 | 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 14-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 14-day average falls below the 165-day average