Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pacer Global Cash Cows Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of Pacer Global Cash Cows Dividend ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -41.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -23.4%, Sharpe 0.55, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 97% n=27, threshold=-0.09 |
6.8% | -23.4% | 0.55 | 0.29 | 2.0x | 15 | 97% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
1.0% | -5.6% | 0.41 | 0.17 | 1.1x | 2 | 4% |
| Donchian 채널 돌파 entryN=40, exitN=60 |
3.8% | -22.4% | 0.40 | 0.17 | 1.5x | 21 | 70% |
| EMA 크로스오버 fast=19, slow=191 |
2.1% | -28.0% | 0.26 | 0.08 | 1.2x | 23 | 68% |
| SMA 크로스오버 fast=8, slow=219 |
1.3% | -30.6% | 0.18 | 0.04 | 1.1x | 33 | 65% |
| Supertrend period=13, mult=4.8 |
1.1% | -29.5% | 0.15 | 0.04 | 1.1x | 39 | 54% |
| ADX / DI 방향성 period=14, threshold=31 |
0.3% | -8.2% | 0.08 | 0.03 | 1.0x | 20 | 9% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.4% | -35.8% | 0.03 | -0.01 | 1.0x | 93 | 57% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=10, mult=3.8 |
-0.3% | -10.4% | -0.04 | -0.03 | 1.0x | 18 | 11% |
| MACD fast=12, slow=41, signal=14 |
-2.5% | -32.3% | -0.20 | -0.08 | 0.8x | 155 | 49% |
| Buy and hold | 6.1% | -41.4% | 0.42 | 0.15 | 1.9x | 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 27-day return is greater than -9%
- Sell — Sell when the 27-day return drops to -9% or below