Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Baillie Gifford Shin Nippon PLC backtest
10 trend-following strategies were compared on the full daily history of Baillie Gifford Shin Nippon PLC. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.0%, MDD -27.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.5%, drawdown -80.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.1%, MDD -31.6%, Sharpe 1.00, 22% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.5%, MDD -48.2%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 11.0%, MDD -27.0%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=2.4 |
11.1% | -31.6% | 1.00 | 0.35 | 74.7x | 218 | 22% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=25, mult=3.1 |
11.1% | -31.6% | 0.95 | 0.35 | 74.3x | 154 | 23% |
| ADX / DI 방향성 period=24, threshold=23 |
11.0% | -27.0% | 0.89 | 0.41 | 72.6x | 152 | 25% |
| Donchian 채널 돌파 entryN=40, exitN=15 |
11.9% | -37.8% | 0.86 | 0.32 | 101.1x | 205 | 38% |
| Supertrend period=17, mult=4.1 |
12.2% | -49.4% | 0.76 | 0.25 | 111.2x | 265 | 56% |
| EMA 크로스오버 fast=19, slow=85 |
12.5% | -48.2% | 0.74 | 0.26 | 123.7x | 115 | 55% |
| Parabolic SAR step=0.01, maxStep=0.3 |
11.2% | -56.0% | 0.72 | 0.20 | 79.1x | 477 | 54% |
| SMA 크로스오버 fast=9, slow=87 |
11.3% | -51.5% | 0.69 | 0.22 | 79.1x | 163 | 54% |
| ROC 모멘텀 n=33, threshold=0.08 |
7.2% | -41.6% | 0.65 | 0.17 | 17.5x | 376 | 24% |
| MACD fast=18, slow=23, signal=18 |
9.1% | -53.2% | 0.64 | 0.17 | 35.4x | 473 | 51% |
| Buy and hold | 7.5% | -80.1% | 0.42 | 0.09 | 19.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 13-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 13-day middle average