Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Municipal Income Opportunities Active Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Municipal Income Opportunities Active Exchange-Traded Fund. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -1.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.2%, drawdown -17.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.7%, MDD -1.6%, Sharpe 1.11, 10% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 0.4%, MDD -1.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=20, mult=1.7 |
1.7% | -1.6% | 1.11 | 1.05 | 1.1x | 14 | 10% |
| 볼린저 밴드 돌파 n=13, k=3.2 |
0.4% | -1.3% | 0.65 | 0.30 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=18, threshold=0.03 |
0.3% | -2.2% | 0.34 | 0.14 | 1.0x | 10 | 4% |
| ADX / DI 방향성 period=23, threshold=25 |
-0.1% | -6.1% | -0.01 | -0.01 | 1.0x | 18 | 34% |
| Donchian 채널 돌파 entryN=82, exitN=33 |
-0.3% | -3.8% | -0.19 | -0.08 | 1.0x | 6 | 19% |
| Supertrend period=13, mult=3.2 |
-0.7% | -6.2% | -0.25 | -0.11 | 1.0x | 32 | 41% |
| SMA 크로스오버 fast=31, slow=179 |
-0.9% | -6.6% | -0.33 | -0.14 | 1.0x | 8 | 46% |
| EMA 크로스오버 fast=56, slow=92 |
-1.4% | -7.0% | -0.50 | -0.19 | 0.9x | 8 | 47% |
| MACD fast=18, slow=47, signal=18 |
-2.2% | -12.6% | -0.70 | -0.17 | 0.9x | 44 | 44% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.3% | -13.3% | -0.75 | -0.17 | 0.9x | 38 | 43% |
| Buy and hold | -3.2% | -17.2% | -0.69 | -0.19 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average