Trend-Following Backtester · Guide · backtest 한국어
equity · US
AMC Entertainment Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of AMC Entertainment Holdings, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 21.0%, MDD -64.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.6%, drawdown -99.8%).
Sharpe leader (same as main): MACD — CAGR 20.4%, MDD -84.6%, Sharpe 0.52, 51% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 21.0%, MDD -64.5%, exposure 6%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 49.0%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 21.0%, MDD -64.5%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=8, slow=26, signal=8 |
20.4% | -84.6% | 0.52 | 0.24 | 10.6x | 251 | 51% |
| SMA 크로스오버 fast=49, slow=129 |
13.1% | -74.5% | 0.46 | 0.18 | 4.8x | 19 | 36% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
21.0% | -64.5% | 0.44 | 0.32 | 11.2x | 32 | 6% |
| Supertrend period=13, mult=2.4 |
14.3% | -73.3% | 0.42 | 0.20 | 5.5x | 109 | 39% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=1.1 |
11.5% | -79.2% | 0.39 | 0.15 | 4.0x | 136 | 23% |
| ADX / DI 방향성 period=5, threshold=25 |
4.9% | -94.2% | 0.38 | 0.05 | 1.8x | 385 | 42% |
| EMA 크로스오버 fast=54, slow=182 |
8.2% | -65.8% | 0.37 | 0.12 | 2.7x | 9 | 27% |
| Parabolic SAR step=0.015, maxStep=0.04 |
5.6% | -86.5% | 0.37 | 0.06 | 2.0x | 123 | 41% |
| Donchian 채널 돌파 entryN=114, exitN=40 |
6.3% | -77.3% | 0.36 | 0.08 | 2.2x | 11 | 21% |
| ROC 모멘텀 n=118, threshold=0 |
6.9% | -76.1% | 0.34 | 0.09 | 2.3x | 79 | 36% |
| Buy and hold | -28.6% | -99.8% | 0.17 | -0.29 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (8/26) crosses above its 8-day signal line
- Sell — Sell when the MACD line crosses back below the signal line