Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Enhanced Low Duration Active Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Enhanced Low Duration Active Exchange-Traded Fund. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -1.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.4%, drawdown -9.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR -0.2%, MDD -2.3%, Sharpe -0.24, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.1%, MDD -1.0%, exposure 0%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 6.7%p (CAGR -0.1%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=29, mult=3.6 |
-0.2% | -2.3% | -0.24 | -0.07 | 1.0x | 4 | 2% |
| ROC 모멘텀 n=80, threshold=0.06 |
-0.1% | -1.0% | -0.35 | -0.08 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
-0.2% | -2.0% | -0.36 | -0.08 | 1.0x | 4 | 3% |
| SMA 크로스오버 fast=17, slow=265 |
-0.7% | -10.0% | -0.36 | -0.07 | 0.9x | 12 | 51% |
| EMA 크로스오버 fast=55, slow=202 |
-1.0% | -12.5% | -0.40 | -0.08 | 0.9x | 14 | 51% |
| ADX / DI 방향성 period=31, threshold=44 |
-0.1% | -1.1% | -0.40 | -0.08 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=115, exitN=54 |
-0.6% | -7.9% | -0.48 | -0.08 | 0.9x | 8 | 20% |
| Supertrend period=26, mult=3.6 |
-1.0% | -11.8% | -0.48 | -0.08 | 0.9x | 38 | 47% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.9% | -30.9% | -1.49 | -0.09 | 0.7x | 78 | 39% |
| MACD fast=24, slow=42, signal=30 |
-4.6% | -44.7% | -2.03 | -0.10 | 0.6x | 111 | 47% |
| Buy and hold | -0.4% | -9.0% | -0.11 | -0.05 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 45-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 45-day average