Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cinemark Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cinemark Holdings, Inc.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.6%, MDD -22.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.5%, drawdown -85.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.6%, MDD -22.5%, Sharpe 0.45, 6% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.2%, MDD -54.5%, exposure 62%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 63.0%p (CAGR 3.6%, MDD -22.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=25 |
3.6% | -22.5% | 0.45 | 0.16 | 2.0x | 6 | 6% |
| ROC 모멘텀 n=152, threshold=-0.03 |
7.2% | -54.5% | 0.39 | 0.13 | 3.8x | 121 | 62% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
3.1% | -21.9% | 0.34 | 0.14 | 1.8x | 6 | 3% |
| Donchian 채널 돌파 entryN=7, exitN=66 |
4.7% | -69.9% | 0.31 | 0.07 | 2.4x | 75 | 87% |
| MACD fast=8, slow=49, signal=9 |
4.8% | -76.4% | 0.30 | 0.06 | 2.5x | 373 | 51% |
| SMA 크로스오버 fast=58, slow=211 |
4.1% | -56.9% | 0.29 | 0.07 | 2.2x | 23 | 54% |
| EMA 크로스오버 fast=8, slow=135 |
3.6% | -55.4% | 0.27 | 0.06 | 2.0x | 71 | 56% |
| Supertrend period=6, mult=3.2 |
1.5% | -64.8% | 0.19 | 0.02 | 1.3x | 125 | 54% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=3.1 |
1.5% | -45.6% | 0.18 | 0.03 | 1.3x | 61 | 29% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-0.3% | -82.1% | 0.15 | -0.00 | 0.9x | 359 | 54% |
| Buy and hold | 3.5% | -85.5% | 0.30 | 0.04 | 1.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)