Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pimco 15 Year U.S. TIPS Index Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of Pimco 15 Year U.S. TIPS Index Exchange-Traded Fund. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.5%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.3%, drawdown -48.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -0.5%, Sharpe 0.30, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.7%, MDD -22.6%, exposure 53%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 48.2%p (CAGR 0.5%, 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=1, threshold=0.07 |
0.5% | -0.5% | 0.30 | 1.02 | 1.1x | 2 | 0% |
| SMA 크로스오버 fast=42, slow=135 |
1.7% | -22.6% | 0.22 | 0.08 | 1.3x | 28 | 53% |
| EMA 크로스오버 fast=36, slow=194 |
1.4% | -22.6% | 0.19 | 0.06 | 1.3x | 24 | 48% |
| Donchian 채널 돌파 entryN=103, exitN=70 |
0.0% | -31.4% | 0.05 | 0.00 | 1.0x | 24 | 43% |
| 볼린저 밴드 돌파 n=40, k=3.4 |
0.1% | -15.7% | 0.04 | 0.00 | 1.0x | 10 | 5% |
| Supertrend period=27, mult=4.8 |
-0.4% | -32.6% | 0.01 | -0.01 | 0.9x | 58 | 50% |
| ADX / DI 방향성 period=18, threshold=35 |
-0.2% | -7.3% | -0.10 | -0.03 | 1.0x | 4 | 1% |
| MACD fast=39, slow=58, signal=32 |
-2.1% | -43.5% | -0.17 | -0.05 | 0.7x | 98 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=2.9 |
-1.8% | -37.4% | -0.22 | -0.05 | 0.7x | 60 | 29% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.4% | -62.0% | -0.51 | -0.09 | 0.4x | 154 | 53% |
| Buy and hold | -0.3% | -48.7% | 0.05 | -0.01 | 1.0x | 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 1-day return is greater than 7%
- Sell — Sell when the 1-day return drops to 7% or below