Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pimco Municipal Income Fund II backtest
10 trend-following strategies were compared on the full daily history of Pimco Municipal Income Fund II. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.0%, MDD -2.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.0%, drawdown -67.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -4.7%, Sharpe 0.28, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.1%, MDD -26.2%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 62.7%p (CAGR 0.0%, MDD -2.8%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=3.5 |
0.4% | -4.7% | 0.28 | 0.08 | 1.1x | 6 | 2% |
| ROC 모멘텀 n=12, threshold=0.16 |
0.6% | -7.8% | 0.26 | 0.08 | 1.2x | 6 | 0% |
| SMA 크로스오버 fast=17, slow=133 |
1.1% | -26.2% | 0.17 | 0.04 | 1.3x | 50 | 53% |
| EMA 크로스오버 fast=28, slow=110 |
0.9% | -25.2% | 0.15 | 0.04 | 1.2x | 42 | 53% |
| Donchian 채널 돌파 entryN=68, exitN=71 |
0.6% | -27.7% | 0.11 | 0.02 | 1.2x | 36 | 56% |
| Supertrend period=5, mult=4.4 |
-0.0% | -33.6% | 0.04 | -0.00 | 1.0x | 88 | 52% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=22, mult=4 |
0.0% | -2.8% | 0.03 | 0.01 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=38, threshold=29 |
-0.0% | -9.9% | -0.01 | -0.00 | 1.0x | 6 | 2% |
| MACD fast=19, slow=57, signal=16 |
-3.3% | -59.4% | -0.31 | -0.06 | 0.4x | 246 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.4% | -75.2% | -0.46 | -0.07 | 0.3x | 194 | 55% |
| Buy and hold | -3.0% | -67.4% | -0.08 | -0.04 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 32-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 32-day middle average