Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Dynamic Income Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Dynamic Income Fund. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -54.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.5%, Sharpe 0.21, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 53.9%p (CAGR 0.2%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=20, threshold=0.23 |
0.2% | -0.5% | 0.21 | 0.30 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=34, threshold=29 |
0.1% | -2.9% | 0.08 | 0.03 | 1.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=29, k=3.4 |
-0.0% | -4.8% | 0.00 | -0.00 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=65, slow=139 |
-1.2% | -29.9% | -0.07 | -0.04 | 0.8x | 16 | 50% |
| Donchian 채널 돌파 entryN=107, exitN=60 |
-1.1% | -26.5% | -0.14 | -0.04 | 0.8x | 20 | 37% |
| SMA 크로스오버 fast=29, slow=147 |
-1.9% | -35.0% | -0.14 | -0.05 | 0.8x | 34 | 49% |
| Supertrend period=18, mult=5 |
-1.9% | -43.4% | -0.17 | -0.04 | 0.8x | 46 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=3.7 |
-0.2% | -3.8% | -0.22 | -0.06 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-7.3% | -67.0% | -0.65 | -0.11 | 0.3x | 226 | 52% |
| MACD fast=18, slow=41, signal=17 |
-8.1% | -73.5% | -0.81 | -0.11 | 0.3x | 164 | 52% |
| Buy and hold | -3.1% | -54.4% | -0.09 | -0.06 | 0.6x | 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 20-day return is greater than 23%
- Sell — Sell when the 20-day return drops to 23% or below