Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Income Strategy Fund Shares of Beneficial Interest backtest
10 trend-following strategies were compared on the full daily history of PIMCO Income Strategy Fund Shares of Beneficial Interest. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.9%, MDD -9.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.5%, drawdown -82.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.9%, MDD -9.4%, Sharpe 0.50, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 72.9%p (CAGR 1.9%, MDD -9.4%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=61, threshold=0.25 |
1.9% | -9.4% | 0.50 | 0.20 | 1.5x | 10 | 2% |
| SMA 크로스오버 fast=7, slow=124 |
0.5% | -42.0% | 0.10 | 0.01 | 1.1x | 86 | 50% |
| EMA 크로스오버 fast=50, slow=123 |
0.5% | -33.8% | 0.10 | 0.01 | 1.1x | 34 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=2.9 |
0.2% | -36.8% | 0.06 | 0.00 | 1.0x | 68 | 24% |
| Donchian 채널 돌파 entryN=38, exitN=47 |
0.0% | -36.4% | 0.05 | 0.00 | 1.0x | 60 | 49% |
| 볼린저 밴드 돌파 n=48, k=2 |
-0.1% | -33.1% | 0.03 | -0.00 | 1.0x | 74 | 28% |
| Supertrend period=9, mult=4.2 |
-0.5% | -42.9% | 0.01 | -0.01 | 0.9x | 82 | 48% |
| ADX / DI 방향성 period=16, threshold=38 |
-0.4% | -11.7% | -0.11 | -0.04 | 0.9x | 30 | 4% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.4% | -65.0% | -0.32 | -0.07 | 0.4x | 182 | 54% |
| MACD fast=14, slow=29, signal=17 |
-6.4% | -85.5% | -0.44 | -0.07 | 0.2x | 338 | 50% |
| Buy and hold | -4.5% | -82.2% | -0.10 | -0.06 | 0.3x | 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 61-day return is greater than 25%
- Sell — Sell when the 61-day return drops to 25% or below