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. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -23.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.2%, drawdown -66.7%).
Sharpe leader (same as main): Supertrend — CAGR 22.3%, MDD -32.3%, Sharpe 1.24, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 13.9%, MDD -23.9%, exposure 37%).
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 |
22.3% | -32.3% | 1.24 | 0.69 | 5.4x | 36 | 57% |
| SMA 크로스오버 fast=8, slow=51 |
18.7% | -34.4% | 1.01 | 0.55 | 4.2x | 44 | 59% |
| 볼린저 밴드 돌파 n=14, k=2.3 |
9.7% | -14.9% | 0.99 | 0.65 | 2.2x | 44 | 20% |
| Donchian 채널 돌파 entryN=94, exitN=20 |
13.9% | -23.9% | 0.95 | 0.58 | 3.0x | 20 | 37% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=2.1 |
13.0% | -27.8% | 0.95 | 0.47 | 2.8x | 36 | 33% |
| EMA 크로스오버 fast=12, slow=204 |
16.5% | -32.6% | 0.83 | 0.51 | 3.6x | 11 | 63% |
| MACD fast=13, slow=50, signal=18 |
14.3% | -35.9% | 0.81 | 0.40 | 3.0x | 74 | 48% |
| ROC 모멘텀 n=21, threshold=0.02 |
11.5% | -40.0% | 0.73 | 0.29 | 2.5x | 168 | 47% |
| ADX / DI 방향성 period=16, threshold=17 |
10.4% | -28.4% | 0.69 | 0.37 | 2.3x | 100 | 44% |
| Parabolic SAR step=0.015, maxStep=0.12 |
7.6% | -31.2% | 0.47 | 0.24 | 1.8x | 146 | 58% |
| Buy and hold | 14.2% | -66.7% | 0.59 | 0.21 | 3.0x | 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)