Enlight Renewable Energy Ltd backtest

10 trend-following strategies were compared on the full daily history of Enlight Renewable Energy Ltd. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.

Data 2000-02-01 ~ 2026-07-31daily bars 5,690 (26.5 years)Costs 0.5%Venue TASEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 13.0%, drawdown -99.9%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 319181.1%, MDD -100.0%, Sharpe 2.68, 55% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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=55, slow=59	319181.1%	-100.0%	2.68	3191.81	6.915172795763182e+92x	540	55%
Donchian 채널 돌파 entryN=5, exitN=182	-100.0%	-100.0%	2.28	-1.00	0.0x	267	94%
Supertrend period=19, mult=5	-97.2%	-100.0%	2.15	-0.97	0.0x	121	60%
ADX / DI 방향성 period=95, threshold=30	-86.3%	-100.0%	1.78	-0.86	0.0x	52	22%
EMA 크로스오버 fast=104, slow=217	-99.3%	-100.0%	1.72	-0.99	0.0x	125	50%
ROC 모멘텀 n=75, threshold=-0.02	-100.0%	-100.0%	1.66	-1.00	0.0x	629	63%
MACD fast=53, slow=88, signal=52	-100.0%	-100.0%	1.46	-1.00	0.0x	320	56%
Parabolic SAR step=0.005, maxStep=0.28	-99.3%	-100.0%	0.41	-0.99	0.0x	216	42%
볼린저 밴드 돌파 n=22, k=3	5.1%	-49.1%	0.37	0.10	3.7x	38	9%
Keltner 채널 돌파 emaPeriod=7, atrPeriod=28, mult=4	0.9%	-54.1%	0.14	0.02	1.3x	6	0%
Buy and hold	13.0%	-99.9%	3.41	0.13	25.7x	1	100%

SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.

SMA 크로스오버 maximum drawdown -100.0% (2007-02-13 → 2011-11-25), prior peak not yet recovered.

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 55-day average price crosses above the 59-day average
Sell — Sell (to cash) when the 55-day average falls below the 59-day average

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.

Re-run the same setup All asset reports

Enlight Renewable Energy Ltd backtest

Results by strategy

Rules of the top strategy

Method and caveats

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