Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Elbit Systems Ltd backtest
10 trend-following strategies were compared on the full daily history of Elbit Systems Ltd. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.6%, drawdown -99.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -1.0%, MDD -99.6%, Sharpe 0.58, 65% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.7%, MDD -42.4%, exposure 9%.
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=50, slow=122 |
-1.0% | -99.6% | 0.58 | -0.01 | 0.8x | 52 | 65% |
| Supertrend period=15, mult=5 |
-9.0% | -99.3% | 0.54 | -0.09 | 0.1x | 41 | 72% |
| EMA 크로스오버 fast=59, slow=189 |
-9.2% | -99.3% | 0.52 | -0.09 | 0.1x | 27 | 68% |
| 볼린저 밴드 돌파 n=10, k=2.4 |
1.7% | -42.4% | 0.24 | 0.04 | 1.5x | 86 | 9% |
| Donchian 채널 돌파 entryN=132, exitN=103 |
0.5% | -99.2% | 0.23 | 0.01 | 1.1x | 31 | 58% |
| ROC 모멘텀 n=75, threshold=-0.04 |
-27.8% | -100.0% | 0.22 | -0.28 | 0.0x | 450 | 76% |
| ADX / DI 방향성 period=26, threshold=24 |
-14.3% | -99.3% | 0.09 | -0.14 | 0.0x | 28 | 14% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=15, mult=3.6 |
-14.9% | -99.1% | -0.03 | -0.15 | 0.0x | 40 | 14% |
| MACD fast=26, slow=69, signal=30 |
-54.5% | -100.0% | -0.71 | -0.55 | 0.0x | 259 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-48.3% | -100.0% | -0.88 | -0.48 | 0.0x | 223 | 45% |
| Buy and hold | 15.6% | -99.4% | 0.25 | 0.16 | 32.0x | 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 50-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 50-day average falls below the 122-day average