Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Enhanced Low Duration Active Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Enhanced Low Duration Active Exchange-Traded Fund. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.1%, MDD -0.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.5%, drawdown -9.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.0%, MDD -1.5%, Sharpe -0.00, 0% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 7.5%p (CAGR -0.1%, MDD -0.8%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=4, threshold=0.02 |
-0.0% | -1.5% | -0.00 | -0.00 | 1.0x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=11, mult=4 |
-0.1% | -0.8% | -0.16 | -0.07 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=52, slow=348 |
-0.7% | -10.0% | -0.31 | -0.07 | 0.9x | 10 | 48% |
| 볼린저 밴드 돌파 n=49, k=3.4 |
-0.2% | -2.0% | -0.34 | -0.08 | 1.0x | 4 | 3% |
| EMA 크로스오버 fast=56, slow=197 |
-0.9% | -11.7% | -0.36 | -0.08 | 0.9x | 14 | 50% |
| Donchian 채널 돌파 entryN=46, exitN=66 |
-1.0% | -12.7% | -0.38 | -0.08 | 0.9x | 20 | 54% |
| ADX / DI 방향성 period=36, threshold=42 |
-0.1% | -1.1% | -0.40 | -0.08 | 1.0x | 2 | 0% |
| Supertrend period=21, mult=3.5 |
-0.9% | -11.3% | -0.46 | -0.08 | 0.9x | 38 | 47% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.4% | -26.1% | -1.28 | -0.09 | 0.7x | 60 | 39% |
| MACD fast=31, slow=40, signal=22 |
-4.5% | -44.6% | -1.99 | -0.10 | 0.6x | 110 | 47% |
| Buy and hold | -0.5% | -9.0% | -0.14 | -0.06 | 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 4-day return is greater than 2%
- Sell — Sell when the 4-day return drops to 2% or below