Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pimco Corporate & Income Strategy Fund backtest
10 trend-following strategies were compared on the full daily history of Pimco Corporate & Income Strategy Fund. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -6.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.0%, drawdown -66.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.1%, MDD -9.6%, Sharpe 0.28, 1% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 57.2%p (CAGR 0.5%, MDD -6.0%, exposure 1%).
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=18, threshold=0.24 |
1.1% | -9.6% | 0.28 | 0.12 | 1.3x | 12 | 1% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
0.5% | -6.0% | 0.23 | 0.08 | 1.1x | 2 | 1% |
| Supertrend period=18, mult=4.3 |
-1.0% | -54.0% | -0.00 | -0.02 | 0.8x | 92 | 52% |
| SMA 크로스오버 fast=10, slow=202 |
-1.1% | -40.8% | -0.04 | -0.03 | 0.8x | 72 | 53% |
| EMA 크로스오버 fast=48, slow=214 |
-2.1% | -48.8% | -0.10 | -0.04 | 0.6x | 36 | 53% |
| Donchian 채널 돌파 entryN=45, exitN=32 |
-2.0% | -45.9% | -0.13 | -0.04 | 0.6x | 76 | 43% |
| ADX / DI 방향성 period=23, threshold=39 |
-0.2% | -6.1% | -0.21 | -0.04 | 0.9x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=3.6 |
-1.6% | -38.9% | -0.21 | -0.04 | 0.7x | 56 | 18% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-3.7% | -64.8% | -0.21 | -0.06 | 0.4x | 314 | 56% |
| MACD fast=14, slow=30, signal=18 |
-4.1% | -77.4% | -0.25 | -0.05 | 0.4x | 332 | 51% |
| Buy and hold | -1.0% | -66.7% | 0.08 | -0.02 | 0.8x | 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 18-day return is greater than 24%
- Sell — Sell when the 18-day return drops to 24% or below