Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Cineplex Inc. backtest
10 trend-following strategies were compared on the full daily history of Cineplex Inc.. 9 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 2.2%, MDD -18.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.2%, drawdown -91.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.2%, MDD -18.3%, Sharpe 0.29, 2% exposure.
CAGR reference leader: Supertrend — CAGR 3.1%, MDD -61.6%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 73.3%p (CAGR 2.2%, MDD -18.3%, exposure 2%).
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=14, k=3.1 |
2.2% | -18.3% | 0.29 | 0.12 | 1.4x | 14 | 2% |
| Supertrend period=15, mult=4.8 |
3.1% | -61.6% | 0.24 | 0.05 | 1.6x | 45 | 55% |
| Donchian 채널 돌파 entryN=6, exitN=32 |
2.8% | -56.5% | 0.24 | 0.05 | 1.6x | 93 | 81% |
| MACD fast=15, slow=18, signal=8 |
2.6% | -60.0% | 0.22 | 0.04 | 1.5x | 311 | 50% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=26, mult=2.8 |
1.5% | -20.7% | 0.21 | 0.07 | 1.3x | 18 | 3% |
| ADX / DI 방향성 period=20, threshold=25 |
1.9% | -33.6% | 0.21 | 0.06 | 1.4x | 54 | 17% |
| ROC 모멘텀 n=19, threshold=0.13 |
2.1% | -28.4% | 0.21 | 0.07 | 1.4x | 94 | 7% |
| SMA 크로스오버 fast=55, slow=91 |
-2.1% | -84.9% | 0.07 | -0.02 | 0.7x | 53 | 53% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-1.9% | -64.2% | 0.04 | -0.03 | 0.7x | 299 | 53% |
| EMA 크로스오버 fast=9, slow=90 |
-3.2% | -68.2% | -0.03 | -0.05 | 0.6x | 83 | 54% |
| Buy and hold | -3.2% | -91.6% | 0.13 | -0.03 | 0.6x | 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 14-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 14-day middle average