Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pimco Corporate & Income Opportunity Fund backtest
10 trend-following strategies were compared on the full daily history of Pimco Corporate & Income Opportunity Fund. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -4.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.1%, drawdown -69.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.0%, MDD -16.6%, Sharpe 0.24, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR -0.1%, MDD -4.7%, exposure 1%).
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=12, threshold=0.14 |
1.0% | -16.6% | 0.24 | 0.06 | 1.3x | 24 | 1% |
| EMA 크로스오버 fast=13, slow=189 |
-0.3% | -39.2% | 0.04 | -0.01 | 0.9x | 60 | 52% |
| SMA 크로스오버 fast=19, slow=175 |
-0.4% | -39.2% | 0.03 | -0.01 | 0.9x | 58 | 54% |
| Supertrend period=11, mult=4 |
-1.6% | -52.7% | -0.08 | -0.03 | 0.7x | 104 | 47% |
| Donchian 채널 돌파 entryN=13, exitN=19 |
-2.2% | -59.3% | -0.09 | -0.04 | 0.6x | 154 | 64% |
| ADX / DI 방향성 period=37, threshold=25 |
-0.1% | -4.7% | -0.10 | -0.02 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=42, k=3.1 |
-0.4% | -14.0% | -0.14 | -0.03 | 0.9x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=2.2 |
-2.2% | -59.9% | -0.18 | -0.04 | 0.6x | 114 | 32% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.4% | -69.5% | -0.28 | -0.06 | 0.3x | 184 | 54% |
| MACD fast=17, slow=46, signal=11 |
-4.9% | -74.3% | -0.31 | -0.07 | 0.3x | 328 | 53% |
| Buy and hold | -1.1% | -69.7% | 0.07 | -0.02 | 0.8x | 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 12-day return is greater than 14%
- Sell — Sell when the 12-day return drops to 14% or below