Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Baillie Gifford UK Growth Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Baillie Gifford UK Growth Trust PLC GBP. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.5%, MDD -37.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.4%, drawdown -68.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -58.4%, Sharpe 0.35, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 10.0%p (CAGR 3.5%, MDD -37.4%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=171 |
4.0% | -58.4% | 0.35 | 0.07 | 3.6x | 47 | 62% |
| EMA 크로스오버 fast=28, slow=180 |
3.5% | -37.4% | 0.33 | 0.09 | 3.0x | 47 | 63% |
| ROC 모멘텀 n=107, threshold=-0.04 |
2.6% | -46.4% | 0.25 | 0.06 | 2.3x | 235 | 72% |
| Supertrend period=9, mult=4.7 |
2.0% | -36.7% | 0.23 | 0.06 | 1.9x | 139 | 56% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=37, mult=3.9 |
0.6% | -12.1% | 0.22 | 0.05 | 1.2x | 38 | 4% |
| ADX / DI 방향성 period=42, threshold=19 |
0.9% | -28.1% | 0.20 | 0.03 | 1.3x | 48 | 14% |
| Donchian 채널 돌파 entryN=35, exitN=49 |
1.7% | -50.5% | 0.19 | 0.03 | 1.7x | 103 | 63% |
| 볼린저 밴드 돌파 n=14, k=3 |
0.3% | -13.3% | 0.14 | 0.02 | 1.1x | 24 | 2% |
| MACD fast=11, slow=28, signal=14 |
-0.7% | -60.2% | 0.01 | -0.01 | 0.8x | 516 | 49% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-1.2% | -57.1% | -0.03 | -0.02 | 0.7x | 266 | 55% |
| Buy and hold | 2.4% | -68.4% | 0.22 | 0.04 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 171-day average
- Sell — Sell (to cash) when the 54-day average falls below the 171-day average