Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Dynamic Income Strategy Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Dynamic Income Strategy Fund. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -17.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.0%, drawdown -83.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -24.4%, Sharpe 0.75, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 58.5%p (CAGR 6.2%, MDD -17.7%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=108, exitN=60 |
12.3% | -24.4% | 0.75 | 0.50 | 2.4x | 4 | 42% |
| ADX / DI 방향성 period=38, threshold=11 |
10.6% | -23.8% | 0.74 | 0.45 | 2.2x | 30 | 33% |
| SMA 크로스오버 fast=50, slow=165 |
10.4% | -39.7% | 0.60 | 0.26 | 2.1x | 9 | 59% |
| 볼린저 밴드 돌파 n=26, k=2.4 |
6.2% | -17.7% | 0.57 | 0.35 | 1.6x | 32 | 22% |
| Supertrend period=25, mult=2.8 |
9.4% | -27.3% | 0.57 | 0.34 | 2.0x | 50 | 55% |
| EMA 크로스오버 fast=44, slow=139 |
9.1% | -38.5% | 0.54 | 0.24 | 2.0x | 10 | 57% |
| ROC 모멘텀 n=76, threshold=0.02 |
7.8% | -26.1% | 0.50 | 0.30 | 1.8x | 84 | 52% |
| MACD fast=7, slow=31, signal=18 |
7.2% | -39.1% | 0.44 | 0.18 | 1.7x | 116 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=21, mult=3.1 |
4.2% | -23.4% | 0.40 | 0.18 | 1.4x | 18 | 19% |
| Parabolic SAR step=0.025, maxStep=0.08 |
2.9% | -44.4% | 0.24 | 0.06 | 1.2x | 142 | 57% |
| Buy and hold | -0.0% | -83.0% | 0.19 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 108 days
- Sell — Sell when price breaks below the lowest low of the last 60 days