Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO 25 Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO 25 Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -9.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.5%, drawdown -69.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -22.3%, Sharpe 0.28, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -28.9%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR -0.2%, MDD -9.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=2.8 |
2.4% | -22.3% | 0.28 | 0.11 | 1.5x | 30 | 10% |
| SMA 크로스오버 fast=31, slow=215 |
3.2% | -28.9% | 0.28 | 0.11 | 1.7x | 20 | 43% |
| EMA 크로스오버 fast=48, slow=131 |
2.4% | -34.1% | 0.23 | 0.07 | 1.5x | 24 | 45% |
| Donchian 채널 돌파 entryN=23, exitN=97 |
2.5% | -52.4% | 0.22 | 0.05 | 1.5x | 34 | 76% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=18, mult=4 |
1.4% | -19.2% | 0.21 | 0.07 | 1.3x | 12 | 3% |
| Supertrend period=13, mult=5 |
1.7% | -41.9% | 0.19 | 0.04 | 1.3x | 54 | 40% |
| MACD fast=28, slow=55, signal=31 |
1.7% | -39.6% | 0.18 | 0.04 | 1.3x | 102 | 49% |
| ROC 모멘텀 n=90, threshold=0.03 |
0.1% | -47.8% | 0.08 | 0.00 | 1.0x | 156 | 40% |
| ADX / DI 방향성 period=18, threshold=39 |
-0.2% | -9.1% | -0.12 | -0.03 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-7.4% | -76.6% | -0.38 | -0.10 | 0.3x | 278 | 50% |
| Buy and hold | -1.5% | -69.4% | 0.05 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 26-day middle average