Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pimco High Income Fund backtest
10 trend-following strategies were compared on the full daily history of Pimco High Income Fund. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -15.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.9%, drawdown -80.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.1%, MDD -22.1%, Sharpe 0.35, 4% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.1%, MDD -21.7%, exposure 2%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 0.0%, MDD -15.9%, 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=99, threshold=0.19 |
2.1% | -22.1% | 0.35 | 0.09 | 1.6x | 36 | 4% |
| 볼린저 밴드 돌파 n=20, k=3 |
2.1% | -21.7% | 0.32 | 0.10 | 1.6x | 12 | 2% |
| SMA 크로스오버 fast=55, slow=123 |
0.5% | -55.6% | 0.11 | 0.01 | 1.1x | 52 | 47% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=23, mult=2.8 |
0.3% | -31.8% | 0.08 | 0.01 | 1.1x | 20 | 2% |
| Supertrend period=11, mult=3.9 |
0.1% | -51.8% | 0.07 | 0.00 | 1.0x | 101 | 42% |
| Donchian 채널 돌파 entryN=45, exitN=14 |
0.1% | -49.1% | 0.07 | 0.00 | 1.0x | 84 | 32% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.5% | -64.2% | 0.04 | -0.01 | 0.9x | 171 | 52% |
| ADX / DI 방향성 period=33, threshold=25 |
0.0% | -15.9% | 0.02 | 0.00 | 1.0x | 22 | 2% |
| MACD fast=22, slow=47, signal=24 |
-1.9% | -72.6% | -0.04 | -0.03 | 0.6x | 207 | 50% |
| EMA 크로스오버 fast=19, slow=89 |
-1.9% | -50.1% | -0.07 | -0.04 | 0.6x | 66 | 46% |
| Buy and hold | -4.9% | -80.9% | -0.04 | -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 99-day return is greater than 19%
- Sell — Sell when the 99-day return drops to 19% or below