Trend-Following Backtester · Guide · backtest 한국어
equity · US
Elanco Animal Health Incorporated backtest
10 trend-following strategies were compared on the full daily history of Elanco Animal Health Incorporated. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -7.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.1%, drawdown -78.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.4%, MDD -7.9%, Sharpe 0.54, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.5%, MDD -35.8%, exposure 40%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 70.1%p (CAGR 3.4%, MDD -7.9%, exposure 4%).
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=45, k=3.5 |
3.4% | -7.9% | 0.54 | 0.43 | 1.3x | 2 | 4% |
| SMA 크로스오버 fast=83, slow=237 |
10.5% | -35.8% | 0.50 | 0.29 | 2.2x | 5 | 40% |
| ADX / DI 방향성 period=24, threshold=21 |
5.6% | -26.4% | 0.41 | 0.21 | 1.5x | 20 | 17% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.2 |
4.4% | -32.7% | 0.32 | 0.13 | 1.4x | 16 | 25% |
| EMA 크로스오버 fast=21, slow=181 |
4.9% | -35.6% | 0.31 | 0.14 | 1.5x | 15 | 45% |
| ROC 모멘텀 n=166, threshold=0.04 |
4.1% | -36.3% | 0.28 | 0.11 | 1.4x | 41 | 38% |
| Supertrend period=27, mult=4.8 |
1.7% | -47.2% | 0.20 | 0.04 | 1.1x | 21 | 53% |
| Donchian 채널 돌파 entryN=46, exitN=36 |
0.9% | -47.7% | 0.16 | 0.02 | 1.1x | 20 | 41% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-1.3% | -67.2% | 0.11 | -0.02 | 0.9x | 225 | 50% |
| MACD fast=8, slow=22, signal=12 |
-1.2% | -62.0% | 0.11 | -0.02 | 0.9x | 155 | 48% |
| Buy and hold | -5.1% | -78.0% | 0.10 | -0.07 | 0.7x | 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 45-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 45-day middle average