Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pacer Global Cash Cows Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of Pacer Global Cash Cows Dividend ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -41.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.3%, MDD -23.4%, Sharpe 0.52, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=27, threshold=-0.09 |
6.3% | -23.4% | 0.52 | 0.27 | 1.9x | 15 | 97% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=57, mult=3.4 |
1.2% | -4.7% | 0.45 | 0.25 | 1.1x | 8 | 3% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
0.9% | -5.6% | 0.40 | 0.17 | 1.1x | 2 | 4% |
| Donchian 채널 돌파 entryN=32, exitN=70 |
3.7% | -18.6% | 0.37 | 0.20 | 1.5x | 21 | 77% |
| EMA 크로스오버 fast=18, slow=209 |
1.8% | -27.3% | 0.23 | 0.07 | 1.2x | 21 | 69% |
| SMA 크로스오버 fast=34, slow=189 |
0.9% | -32.9% | 0.14 | 0.03 | 1.1x | 17 | 62% |
| Supertrend period=12, mult=4.7 |
0.9% | -31.7% | 0.13 | 0.03 | 1.1x | 42 | 53% |
| ADX / DI 방향성 period=39, threshold=12 |
0.7% | -23.6% | 0.13 | 0.03 | 1.1x | 52 | 42% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.5% | -35.8% | 0.02 | -0.01 | 0.9x | 94 | 57% |
| MACD fast=17, slow=38, signal=17 |
-1.3% | -25.3% | -0.09 | -0.05 | 0.9x | 132 | 49% |
| Buy and hold | 5.6% | -41.4% | 0.39 | 0.14 | 1.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 27-day return is greater than -9%
- Sell — Sell when the 27-day return drops to -9% or below