Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eli Lilly and Company backtest
10 trend-following strategies were compared on the full daily history of Eli Lilly and Company. 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 11.0%, drawdown -74.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -57.0%, Sharpe 0.44, 62% 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=70, slow=263 |
7.4% | -57.0% | 0.44 | 0.13 | 48.4x | 61 | 62% |
| EMA 크로스오버 fast=69, slow=275 |
7.0% | -71.4% | 0.42 | 0.10 | 39.5x | 59 | 63% |
| ADX / DI 방향성 period=83, threshold=15 |
3.5% | -36.4% | 0.40 | 0.10 | 6.4x | 34 | 13% |
| Donchian 채널 돌파 entryN=83, exitN=74 |
5.6% | -81.3% | 0.37 | 0.07 | 18.8x | 87 | 61% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
1.1% | -15.5% | 0.27 | 0.07 | 1.9x | 26 | 3% |
| ROC 모멘텀 n=145, threshold=0.13 |
1.2% | -70.7% | 0.16 | 0.02 | 2.0x | 454 | 35% |
| MACD fast=19, slow=50, signal=26 |
1.1% | -75.9% | 0.15 | 0.01 | 1.8x | 502 | 51% |
| Supertrend period=14, mult=5 |
0.3% | -84.0% | 0.11 | 0.00 | 1.2x | 215 | 56% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=20, mult=3.7 |
0.4% | -54.5% | 0.09 | 0.01 | 1.3x | 108 | 11% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-5.5% | -97.9% | -0.19 | -0.06 | 0.0x | 988 | 54% |
| Buy and hold | 11.0% | -74.7% | 0.52 | 0.15 | 282.5x | 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 70-day average price crosses above the 263-day average
- Sell — Sell (to cash) when the 70-day average falls below the 263-day average