Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO 0-5 Year High Yield Corporat Bond Index Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO 0-5 Year High Yield Corporat Bond Index Exchange-Traded Fund. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -1.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.5%, drawdown -26.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD -1.3%, Sharpe 0.05, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 0.0%, MDD -1.3%, exposure 0%).
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 n=42, threshold=0.08 |
0.0% | -1.3% | 0.05 | 0.02 | 1.0x | 6 | 0% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
0.0% | -2.8% | 0.02 | 0.01 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=20, mult=3.9 |
-0.0% | -3.8% | -0.03 | -0.01 | 1.0x | 4 | 2% |
| ADX / DI 방향성 period=29, threshold=29 |
-0.0% | -3.2% | -0.03 | -0.01 | 1.0x | 12 | 6% |
| SMA 크로스오버 fast=40, slow=170 |
-0.2% | -11.6% | -0.04 | -0.02 | 1.0x | 24 | 55% |
| EMA 크로스오버 fast=48, slow=121 |
-0.3% | -13.3% | -0.07 | -0.02 | 1.0x | 22 | 57% |
| Donchian 채널 돌파 entryN=85, exitN=65 |
-0.9% | -16.3% | -0.29 | -0.05 | 0.9x | 26 | 44% |
| Supertrend period=29, mult=5 |
-1.5% | -22.4% | -0.35 | -0.07 | 0.8x | 54 | 56% |
| MACD fast=51, slow=74, signal=40 |
-2.1% | -31.1% | -0.60 | -0.07 | 0.7x | 74 | 43% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.2% | -49.4% | -1.04 | -0.09 | 0.5x | 126 | 56% |
| Buy and hold | -0.5% | -26.6% | -0.05 | -0.02 | 0.9x | 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 42-day return is greater than 8%
- Sell — Sell when the 42-day return drops to 8% or below