Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund. 0 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
0 of 10 beat buy and hold (CAGR 0.2%, drawdown -13.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD -14.8%, Sharpe 0.03, 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=103, threshold=-0.09 |
0.0% | -14.8% | 0.03 | 0.00 | 1.0x | 3 | 97% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
-0.0% | -1.0% | -0.03 | -0.01 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=53, slow=128 |
-0.2% | -14.0% | -0.06 | -0.01 | 1.0x | 30 | 57% |
| Donchian 채널 돌파 entryN=9, exitN=72 |
-0.3% | -16.3% | -0.09 | -0.02 | 1.0x | 48 | 83% |
| EMA 크로스오버 fast=37, slow=88 |
-0.2% | -12.8% | -0.09 | -0.02 | 1.0x | 32 | 57% |
| Supertrend period=13, mult=4.5 |
-0.3% | -10.4% | -0.10 | -0.02 | 1.0x | 54 | 56% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=29, mult=3.5 |
-0.2% | -6.3% | -0.17 | -0.03 | 1.0x | 24 | 10% |
| ADX / DI 방향성 period=37, threshold=33 |
-0.2% | -3.9% | -0.34 | -0.04 | 1.0x | 6 | 2% |
| MACD fast=38, slow=94, signal=48 |
-1.1% | -21.2% | -0.46 | -0.05 | 0.8x | 64 | 49% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.4% | -34.4% | -0.97 | -0.07 | 0.7x | 136 | 56% |
| Buy and hold | 0.2% | -13.4% | 0.07 | 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 103-day return is greater than -9%
- Sell — Sell when the 103-day return drops to -9% or below