Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Income Strategy Fund II backtest
10 trend-following strategies were compared on the full daily history of PIMCO Income Strategy Fund II. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.3%, MDD -19.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.7%, drawdown -83.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.6%, MDD -27.5%, Sharpe 0.25, 5% exposure.
CAGR reference leader: Supertrend — CAGR 1.8%, MDD -28.9%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR -0.3%, MDD -19.8%, exposure 4%).
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=21, threshold=0.07 |
1.6% | -27.5% | 0.25 | 0.06 | 1.4x | 74 | 5% |
| Supertrend period=8, mult=4.5 |
1.8% | -28.9% | 0.23 | 0.06 | 1.5x | 63 | 46% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=3.1 |
1.0% | -25.8% | 0.17 | 0.04 | 1.2x | 54 | 26% |
| SMA 크로스오버 fast=10, slow=152 |
1.1% | -25.0% | 0.17 | 0.05 | 1.3x | 46 | 49% |
| EMA 크로스오버 fast=20, slow=117 |
1.0% | -24.9% | 0.16 | 0.04 | 1.3x | 44 | 50% |
| ADX / DI 방향성 period=22, threshold=23 |
0.8% | -26.2% | 0.15 | 0.03 | 1.2x | 76 | 11% |
| Donchian 채널 돌파 entryN=22, exitN=26 |
0.2% | -41.4% | 0.07 | 0.00 | 1.0x | 91 | 54% |
| 볼린저 밴드 돌파 n=42, k=3 |
-0.3% | -19.8% | -0.05 | -0.01 | 0.9x | 14 | 4% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.2% | -61.4% | -0.32 | -0.07 | 0.4x | 173 | 52% |
| MACD fast=14, slow=41, signal=16 |
-6.7% | -80.0% | -0.50 | -0.08 | 0.2x | 288 | 49% |
| Buy and hold | -4.7% | -83.4% | -0.13 | -0.06 | 0.4x | 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 21-day return is greater than 7%
- Sell — Sell when the 21-day return drops to 7% or below