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 EMA 크로스오버 (CAGR 8.8%, MDD -64.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.4%, drawdown -99.8%).
Sharpe leader (same as main): MACD — CAGR 21.6%, MDD -84.6%, Sharpe 0.53, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 49.9%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 8.8%, MDD -64.1%, exposure 26%).
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 |
21.6% | -84.6% | 0.53 | 0.26 | 11.8x | 249 | 51% |
| SMA 크로스오버 fast=49, slow=129 |
13.8% | -74.5% | 0.48 | 0.19 | 5.1x | 19 | 36% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
21.1% | -64.5% | 0.44 | 0.33 | 11.2x | 32 | 6% |
| Supertrend period=13, mult=2.4 |
15.0% | -73.3% | 0.42 | 0.20 | 5.8x | 109 | 39% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=1.1 |
12.4% | -79.2% | 0.40 | 0.16 | 4.4x | 135 | 23% |
| ADX / DI 방향성 period=5, threshold=25 |
6.2% | -94.2% | 0.39 | 0.07 | 2.1x | 381 | 41% |
| EMA 크로스오버 fast=54, slow=182 |
8.8% | -64.1% | 0.38 | 0.14 | 2.9x | 9 | 26% |
| Donchian 채널 돌파 entryN=114, exitN=40 |
6.9% | -77.3% | 0.37 | 0.09 | 2.3x | 11 | 21% |
| Parabolic SAR step=0.015, maxStep=0.04 |
6.2% | -86.5% | 0.37 | 0.07 | 2.1x | 123 | 40% |
| ROC 모멘텀 n=118, threshold=0 |
7.5% | -76.1% | 0.35 | 0.10 | 2.5x | 79 | 35% |
| Buy and hold | -28.4% | -99.8% | 0.18 | -0.28 | 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