Trend-Following Backtester · Guide · backtest 한국어
etf · US
Dimensional U.S. Equity Market ETF backtest
10 trend-following strategies were compared on the full daily history of Dimensional U.S. Equity Market 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 11.4%, MDD -10.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -25.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -10.7%, Sharpe 1.08, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 14.6%p (CAGR 11.4%, MDD -10.7%, 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=23, slow=215 |
11.4% | -10.7% | 1.08 | 1.06 | 1.8x | 3 | 65% |
| EMA 크로스오버 fast=41, slow=154 |
10.5% | -12.0% | 0.97 | 0.88 | 1.7x | 7 | 67% |
| Supertrend period=25, mult=5 |
7.2% | -19.2% | 0.74 | 0.38 | 1.4x | 19 | 60% |
| ROC 모멘텀 n=78, threshold=-0.07 |
8.7% | -28.4% | 0.67 | 0.31 | 1.5x | 25 | 85% |
| Donchian 채널 돌파 entryN=80, exitN=60 |
5.3% | -13.8% | 0.58 | 0.39 | 1.3x | 11 | 59% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=32, mult=3.7 |
2.9% | -8.0% | 0.46 | 0.36 | 1.2x | 14 | 32% |
| ADX / DI 방향성 period=18, threshold=26 |
1.3% | -4.8% | 0.39 | 0.27 | 1.1x | 8 | 9% |
| MACD fast=12, slow=56, signal=19 |
3.0% | -19.0% | 0.35 | 0.16 | 1.2x | 54 | 48% |
| 볼린저 밴드 돌파 n=40, k=3.1 |
0.6% | -3.3% | 0.34 | 0.19 | 1.0x | 2 | 4% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.7% | -18.9% | 0.30 | 0.14 | 1.1x | 55 | 62% |
| Buy and hold | 11.8% | -25.4% | 0.74 | 0.46 | 1.8x | 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 23-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 23-day average falls below the 215-day average