Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Investment Grade Corporate Bond Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Investment Grade Corporate Bond Exchange-Traded Fund. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -1.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.6%, drawdown -25.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -1.2%, Sharpe 0.46, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.3%, MDD -2.3%, exposure 3%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 0.2%, MDD -1.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=31 |
0.2% | -1.2% | 0.46 | 0.18 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
0.3% | -2.3% | 0.37 | 0.11 | 1.0x | 2 | 3% |
| ROC 모멘텀 n=12, threshold=0.05 |
0.1% | -3.7% | 0.16 | 0.04 | 1.0x | 8 | 0% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=11, mult=4 |
-0.0% | -7.0% | -0.01 | -0.00 | 1.0x | 14 | 8% |
| Donchian 채널 돌파 entryN=110, exitN=66 |
-0.1% | -15.0% | -0.01 | -0.01 | 1.0x | 18 | 35% |
| SMA 크로스오버 fast=59, slow=201 |
-0.5% | -19.1% | -0.09 | -0.03 | 0.9x | 20 | 52% |
| EMA 크로스오버 fast=59, slow=213 |
-1.0% | -21.5% | -0.19 | -0.05 | 0.9x | 22 | 52% |
| Supertrend period=5, mult=4.4 |
-1.1% | -16.2% | -0.28 | -0.06 | 0.8x | 62 | 47% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.9% | -27.1% | -0.47 | -0.07 | 0.7x | 82 | 53% |
| MACD fast=21, slow=54, signal=19 |
-3.2% | -40.6% | -0.77 | -0.08 | 0.6x | 140 | 50% |
| Buy and hold | -0.6% | -25.0% | -0.06 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)