Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pacer Aristotle Pacific Floating Rate High Income ETF backtest
10 trend-following strategies were compared on the full daily history of Pacer Aristotle Pacific Floating Rate High Income ETF. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -1.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.6%, drawdown -25.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -1.0%, Sharpe 0.25, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 0.2%, MDD -1.0%, 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=5, threshold=0.06 |
0.2% | -1.0% | 0.25 | 0.16 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=72, exitN=93 |
-0.2% | -11.0% | -0.02 | -0.02 | 1.0x | 13 | 55% |
| SMA 크로스오버 fast=35, slow=130 |
-0.6% | -16.2% | -0.10 | -0.03 | 0.9x | 21 | 48% |
| EMA 크로스오버 fast=50, slow=111 |
-0.7% | -16.6% | -0.13 | -0.04 | 0.9x | 20 | 51% |
| ADX / DI 방향성 period=38, threshold=28 |
-0.6% | -9.4% | -0.19 | -0.06 | 0.9x | 10 | 10% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
-0.4% | -6.8% | -0.27 | -0.07 | 0.9x | 4 | 2% |
| Supertrend period=27, mult=5 |
-2.4% | -25.6% | -0.52 | -0.10 | 0.8x | 73 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.4% | -24.6% | -0.59 | -0.10 | 0.8x | 79 | 44% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=3.9 |
-1.6% | -18.4% | -0.81 | -0.09 | 0.8x | 28 | 9% |
| MACD fast=34, slow=56, signal=22 |
-4.9% | -44.2% | -1.18 | -0.11 | 0.6x | 101 | 46% |
| Buy and hold | -0.6% | -25.8% | -0.07 | -0.02 | 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 5-day return is greater than 6%
- Sell — Sell when the 5-day return drops to 6% or below