Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pacer Trendpilot US Large Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Pacer Trendpilot US Large Cap ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.1%, MDD -16.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -26.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.1%, MDD -16.1%, Sharpe 0.78, 74% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.1%, MDD -18.6%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 10.6%p (CAGR 8.1%, MDD -16.1%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=41, exitN=62 |
8.1% | -16.1% | 0.78 | 0.50 | 2.4x | 21 | 74% |
| ROC 모멘텀 Hold-like · Exposure 99% n=18, threshold=-0.1 |
9.1% | -18.6% | 0.77 | 0.49 | 2.7x | 5 | 99% |
| SMA 크로스오버 fast=36, slow=74 |
7.0% | -22.4% | 0.68 | 0.31 | 2.1x | 25 | 69% |
| EMA 크로스오버 fast=51, slow=206 |
6.0% | -27.4% | 0.57 | 0.22 | 1.9x | 9 | 70% |
| Supertrend period=16, mult=4.7 |
3.5% | -19.1% | 0.44 | 0.18 | 1.5x | 45 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.2% | -16.1% | 0.19 | 0.08 | 1.1x | 99 | 63% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=7, mult=3.8 |
1.0% | -17.2% | 0.18 | 0.06 | 1.1x | 35 | 34% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
0.1% | -18.7% | 0.05 | 0.00 | 1.0x | 73 | 55% |
| MACD fast=18, slow=59, signal=18 |
-1.7% | -35.8% | -0.18 | -0.05 | 0.8x | 115 | 58% |
| ADX / DI 방향성 period=38, threshold=16 |
-1.4% | -25.1% | -0.24 | -0.05 | 0.9x | 46 | 22% |
| Buy and hold | 8.1% | -26.6% | 0.66 | 0.30 | 2.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 41 days
- Sell — Sell when price breaks below the lowest low of the last 62 days