Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -24.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -2.5%, Sharpe 0.27, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 0.0%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=32 |
0.2% | -2.5% | 0.27 | 0.08 | 1.0x | 6 | 5% |
| ROC 모멘텀 n=5, threshold=0.04 |
0.0% | -0.5% | 0.16 | 0.07 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=20, mult=3.9 |
-0.1% | -5.9% | -0.03 | -0.01 | 1.0x | 16 | 10% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
-0.0% | -2.8% | -0.07 | -0.01 | 1.0x | 4 | 3% |
| Supertrend period=39, mult=5 |
-0.3% | -13.3% | -0.07 | -0.02 | 1.0x | 42 | 54% |
| Donchian 채널 돌파 entryN=45, exitN=46 |
-0.7% | -14.6% | -0.20 | -0.05 | 0.9x | 36 | 50% |
| SMA 크로스오버 fast=42, slow=198 |
-0.7% | -13.5% | -0.20 | -0.05 | 0.9x | 20 | 48% |
| EMA 크로스오버 fast=22, slow=97 |
-1.3% | -22.4% | -0.38 | -0.06 | 0.8x | 30 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.5% | -43.8% | -1.05 | -0.08 | 0.6x | 124 | 54% |
| MACD fast=24, slow=56, signal=19 |
-4.5% | -48.6% | -1.25 | -0.09 | 0.5x | 126 | 48% |
| Buy and hold | -0.7% | -24.6% | -0.13 | -0.03 | 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, 34-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)