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; SMA 크로스오버 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 -3.9%, drawdown -78.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -35.8%, Sharpe 0.55, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 42.2%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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=83, slow=237 |
12.0% | -35.8% | 0.55 | 0.34 | 2.4x | 5 | 40% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
3.4% | -7.9% | 0.54 | 0.43 | 1.3x | 2 | 4% |
| ADX / DI 방향성 period=24, threshold=21 |
5.7% | -26.4% | 0.42 | 0.21 | 1.5x | 20 | 17% |
| EMA 크로스오버 fast=21, slow=181 |
6.3% | -35.6% | 0.36 | 0.18 | 1.6x | 15 | 44% |
| ROC 모멘텀 n=166, threshold=0.04 |
5.6% | -36.3% | 0.34 | 0.16 | 1.5x | 39 | 37% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.2 |
4.4% | -32.7% | 0.32 | 0.14 | 1.4x | 16 | 26% |
| Donchian 채널 돌파 entryN=46, exitN=36 |
3.3% | -47.7% | 0.26 | 0.07 | 1.3x | 19 | 41% |
| Supertrend period=27, mult=4.8 |
2.9% | -47.2% | 0.25 | 0.06 | 1.3x | 21 | 52% |
| Parabolic SAR step=0.035, maxStep=0.18 |
0.7% | -67.2% | 0.17 | 0.01 | 1.1x | 221 | 50% |
| MACD fast=8, slow=22, signal=12 |
-0.4% | -62.0% | 0.13 | -0.01 | 1.0x | 153 | 48% |
| Buy and hold | -3.9% | -78.0% | 0.13 | -0.05 | 0.7x | 1 | 100% |
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 83-day average price crosses above the 237-day average
- Sell — Sell (to cash) when the 83-day average falls below the 237-day average