Trend-Following Backtester · Guide · backtest 한국어
etf · CA
PIMCO Monthly Income Fund (Canada) backtest
10 trend-following strategies were compared on the full daily history of PIMCO Monthly Income Fund (Canada). 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.4%, drawdown -18.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.27, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 0.1%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=49, threshold=0.07 |
0.1% | -0.5% | 0.27 | 0.17 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
0.0% | -1.5% | 0.06 | 0.02 | 1.0x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=3.5 |
-0.1% | -5.4% | -0.03 | -0.01 | 1.0x | 14 | 25% |
| ADX / DI 방향성 period=34, threshold=29 |
-0.0% | -0.9% | -0.09 | -0.04 | 1.0x | 2 | 4% |
| Donchian 채널 돌파 entryN=49, exitN=59 |
-0.3% | -7.6% | -0.10 | -0.04 | 1.0x | 14 | 47% |
| Supertrend period=26, mult=5 |
-1.0% | -14.8% | -0.32 | -0.07 | 0.9x | 28 | 46% |
| EMA 크로스오버 fast=63, slow=212 |
-1.1% | -11.1% | -0.32 | -0.10 | 0.9x | 8 | 46% |
| SMA 크로스오버 fast=43, slow=177 |
-1.2% | -12.1% | -0.32 | -0.10 | 0.9x | 12 | 49% |
| MACD fast=28, slow=58, signal=19 |
-3.6% | -26.9% | -1.12 | -0.13 | 0.7x | 68 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.5% | -32.1% | -1.39 | -0.14 | 0.7x | 74 | 50% |
| Buy and hold | -1.4% | -18.8% | -0.20 | -0.08 | 0.9x | 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 49-day return is greater than 7%
- Sell — Sell when the 49-day return drops to 7% or below