Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Baillie Gifford Japan Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Baillie Gifford Japan Trust PLC. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.3%, MDD -27.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.4%, drawdown -71.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.6%, MDD -31.5%, Sharpe 1.00, 33% exposure.
CAGR reference leader: Supertrend — CAGR 13.2%, MDD -45.6%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 9.3%, MDD -27.5%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=2.4 |
12.6% | -31.5% | 1.00 | 0.40 | 199.3x | 217 | 33% |
| 볼린저 밴드 돌파 n=42, k=2 |
12.5% | -29.9% | 0.96 | 0.42 | 195.5x | 169 | 36% |
| Supertrend period=11, mult=4.5 |
13.2% | -45.6% | 0.87 | 0.29 | 250.9x | 251 | 54% |
| ADX / DI 방향성 period=17, threshold=27 |
9.3% | -27.5% | 0.82 | 0.34 | 53.9x | 208 | 26% |
| Donchian 채널 돌파 entryN=35, exitN=14 |
10.6% | -42.5% | 0.79 | 0.25 | 91.6x | 263 | 41% |
| SMA 크로스오버 fast=8, slow=165 |
10.1% | -45.2% | 0.65 | 0.22 | 73.4x | 133 | 57% |
| EMA 크로스오버 fast=22, slow=126 |
10.1% | -53.4% | 0.64 | 0.19 | 74.5x | 101 | 58% |
| Parabolic SAR step=0.01, maxStep=0.34 |
9.2% | -57.8% | 0.61 | 0.16 | 51.2x | 517 | 55% |
| ROC 모멘텀 n=59, threshold=0.09 |
7.1% | -44.3% | 0.59 | 0.16 | 21.6x | 319 | 30% |
| MACD fast=16, slow=56, signal=25 |
7.8% | -53.7% | 0.55 | 0.15 | 28.8x | 393 | 53% |
| Buy and hold | 9.4% | -71.2% | 0.49 | 0.13 | 55.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average