Trend-Following Backtester · Guide · backtest 한국어
etf · US
PIMCO Dynamic Income Opportunities Fund backtest
10 trend-following strategies were compared on the full daily history of PIMCO Dynamic Income Opportunities Fund. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.8%, drawdown -53.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -0.5%, Sharpe 0.58, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 0.8%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=14, threshold=48 |
0.8% | -0.5% | 0.58 | 1.51 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=125, threshold=0.13 |
0.3% | -2.3% | 0.19 | 0.11 | 1.0x | 10 | 1% |
| SMA 크로스오버 fast=77, slow=374 |
0.6% | -15.2% | 0.12 | 0.04 | 1.0x | 4 | 34% |
| 볼린저 밴드 돌파 n=43, k=2.5 |
-0.2% | -10.2% | -0.03 | -0.02 | 1.0x | 10 | 12% |
| Donchian 채널 돌파 entryN=62, exitN=66 |
-0.6% | -12.9% | -0.04 | -0.05 | 1.0x | 6 | 40% |
| EMA 크로스오버 fast=50, slow=213 |
-0.6% | -14.8% | -0.05 | -0.04 | 1.0x | 4 | 32% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=3.4 |
-0.9% | -10.1% | -0.19 | -0.09 | 1.0x | 8 | 11% |
| Supertrend period=16, mult=4.8 |
-2.2% | -24.7% | -0.21 | -0.09 | 0.9x | 14 | 41% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-6.7% | -36.3% | -0.63 | -0.18 | 0.7x | 48 | 53% |
| MACD fast=6, slow=26, signal=9 |
-8.9% | -43.8% | -0.81 | -0.20 | 0.6x | 126 | 49% |
| Buy and hold | -7.8% | -53.9% | -0.42 | -0.15 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 14-day) is ≥ 48
- Sell — Sell when direction flips or the trend weakens (ADX < 48)