Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Baillie Gifford US Growth Trust Plc backtest
10 trend-following strategies were compared on the full daily history of Baillie Gifford US Growth Trust Plc. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 22.1%, MDD -32.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.5%, drawdown -66.7%).
Sharpe leader (same as main): Supertrend — CAGR 22.1%, MDD -32.3%, Sharpe 1.24, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 22.1%, MDD -32.3%, exposure 57%).
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=10, mult=3.1 |
22.1% | -32.3% | 1.24 | 0.68 | 5.4x | 36 | 57% |
| SMA 크로스오버 fast=8, slow=51 |
19.1% | -34.4% | 1.03 | 0.56 | 4.4x | 45 | 59% |
| 볼린저 밴드 돌파 n=14, k=2.3 |
9.6% | -14.9% | 0.98 | 0.64 | 2.2x | 44 | 19% |
| Donchian 채널 돌파 entryN=94, exitN=20 |
13.8% | -23.9% | 0.95 | 0.58 | 3.0x | 20 | 36% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=2.1 |
12.9% | -27.8% | 0.95 | 0.46 | 2.8x | 36 | 33% |
| EMA 크로스오버 fast=12, slow=204 |
17.8% | -32.6% | 0.88 | 0.55 | 4.0x | 11 | 64% |
| MACD fast=13, slow=50, signal=18 |
14.7% | -35.9% | 0.84 | 0.41 | 3.2x | 75 | 48% |
| ROC 모멘텀 n=21, threshold=0.02 |
11.7% | -40.0% | 0.74 | 0.29 | 2.5x | 169 | 47% |
| ADX / DI 방향성 period=16, threshold=17 |
10.5% | -28.4% | 0.70 | 0.37 | 2.3x | 101 | 44% |
| Parabolic SAR step=0.015, maxStep=0.12 |
8.4% | -31.2% | 0.51 | 0.27 | 2.0x | 147 | 59% |
| Buy and hold | 15.5% | -66.7% | 0.63 | 0.23 | 3.4x | 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) — 10-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)