Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cintas Corporation backtest
10 trend-following strategies were compared on the full daily history of Cintas Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.4%, MDD -51.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.0%, drawdown -67.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.4%, MDD -51.8%, Sharpe 0.66, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 16.0%p (CAGR 14.4%, MDD -51.8%, exposure 77%).
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=103, slow=358 |
14.4% | -51.8% | 0.66 | 0.28 | 322.5x | 28 | 77% |
| Donchian 채널 돌파 entryN=7, exitN=62 |
12.2% | -76.8% | 0.56 | 0.16 | 139.9x | 139 | 91% |
| EMA 크로스오버 fast=45, slow=307 |
10.9% | -73.9% | 0.55 | 0.15 | 86.1x | 40 | 78% |
| Supertrend period=11, mult=4.6 |
9.0% | -65.9% | 0.51 | 0.14 | 40.5x | 129 | 64% |
| ROC 모멘텀 n=149, threshold=-0.11 |
10.3% | -88.3% | 0.51 | 0.12 | 66.8x | 185 | 88% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.4% | -63.7% | 0.31 | 0.07 | 6.4x | 371 | 59% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=3.9 |
2.6% | -28.2% | 0.30 | 0.09 | 3.1x | 95 | 22% |
| ADX / DI 방향성 period=38, threshold=18 |
2.8% | -38.7% | 0.29 | 0.07 | 3.3x | 136 | 25% |
| 볼린저 밴드 돌파 n=55, k=1 |
3.3% | -73.1% | 0.27 | 0.05 | 4.1x | 321 | 55% |
| MACD fast=18, slow=41, signal=23 |
0.5% | -79.9% | 0.13 | 0.01 | 1.3x | 495 | 51% |
| Buy and hold | 17.0% | -67.8% | 0.68 | 0.25 | 856.1x | 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 103-day average price crosses above the 358-day average
- Sell — Sell (to cash) when the 103-day average falls below the 358-day average