Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Baillie Gifford European Growth Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Baillie Gifford European Growth Trust PLC GBP. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.9%, MDD -39.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.9%, drawdown -98.7%).
Sharpe leader (same as main): Supertrend — CAGR 9.2%, MDD -57.6%, Sharpe 0.48, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 41.1%p (CAGR 4.9%, MDD -39.1%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=36, mult=4.5 |
9.2% | -57.6% | 0.48 | 0.16 | 112.8x | 277 | 61% |
| Donchian 채널 돌파 entryN=108, exitN=27 |
4.9% | -39.1% | 0.43 | 0.13 | 13.1x | 151 | 36% |
| ADX / DI 방향성 period=38, threshold=11 |
5.4% | -64.9% | 0.40 | 0.08 | 16.6x | 321 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=1.3 |
6.2% | -61.1% | 0.37 | 0.10 | 25.8x | 318 | 53% |
| SMA 크로스오버 fast=11, slow=87 |
6.2% | -64.8% | 0.36 | 0.10 | 25.7x | 213 | 59% |
| 볼린저 밴드 돌파 n=35, k=1.5 |
5.9% | -50.7% | 0.36 | 0.12 | 21.4x | 326 | 44% |
| ROC 모멘텀 n=69, threshold=0 |
4.3% | -60.5% | 0.33 | 0.07 | 9.5x | 403 | 58% |
| EMA 크로스오버 fast=41, slow=86 |
2.8% | -92.8% | 0.32 | 0.03 | 4.5x | 107 | 61% |
| Parabolic SAR step=0.01, maxStep=0.1 |
5.2% | -95.3% | 0.18 | 0.05 | 15.0x | 504 | 56% |
| MACD fast=22, slow=58, signal=16 |
8.1% | -76.3% | 0.18 | 0.11 | 67.1x | 492 | 52% |
| Buy and hold | 1.9% | -98.7% | 0.19 | 0.02 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 36-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)