Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Enhanced Short Maturity Active Exchange-Traded Fund. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.0%, drawdown -4.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -5.1%, Sharpe -0.08, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -0.9%, exposure 1%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 97% n=123, threshold=-0.03 |
-0.1% | -5.1% | -0.08 | -0.02 | 1.0x | 3 | 97% |
| ADX / DI 방향성 period=32, threshold=39 |
-0.1% | -0.9% | -0.29 | -0.06 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=21, mult=4 |
-0.1% | -1.0% | -0.34 | -0.06 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=46, k=3.4 |
-0.1% | -1.1% | -0.35 | -0.06 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=59, slow=218 |
-0.5% | -8.5% | -0.55 | -0.06 | 0.9x | 17 | 59% |
| SMA 크로스오버 fast=22, slow=219 |
-0.6% | -11.0% | -0.67 | -0.06 | 0.9x | 23 | 58% |
| Donchian 채널 돌파 entryN=82, exitN=101 |
-0.6% | -10.5% | -0.69 | -0.06 | 0.9x | 23 | 56% |
| MACD fast=48, slow=89, signal=43 |
-3.5% | -45.1% | -2.42 | -0.08 | 0.6x | 113 | 43% |
| Supertrend period=7, mult=5 |
-3.2% | -42.7% | -2.43 | -0.08 | 0.6x | 94 | 40% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.7% | -55.4% | -2.87 | -0.08 | 0.4x | 155 | 52% |
| Buy and hold | 0.0% | -4.8% | 0.02 | 0.00 | 1.0x | 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 123-day return is greater than -3%
- Sell — Sell when the 123-day return drops to -3% or below