Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Solana backtest
10 trend-following strategies were compared on the full daily history of Solana. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 150.1%, MDD -51.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 67.8%, drawdown -96.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 157.2%, MDD -54.7%, Sharpe 1.64, 36% exposure.
CAGR reference leader: MACD — CAGR 169.0%, MDD -70.6%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 89.4%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 150.1%, MDD -51.3%, exposure 33%).
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=28, k=1.1 |
157.2% | -54.7% | 1.64 | 2.87 | 281.2x | 74 | 36% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=19, mult=1.2 |
150.1% | -51.3% | 1.63 | 2.92 | 237.5x | 66 | 33% |
| MACD fast=17, slow=27, signal=19 |
169.0% | -70.6% | 1.61 | 2.39 | 367.1x | 84 | 55% |
| Supertrend period=11, mult=1.8 |
159.3% | -56.1% | 1.58 | 2.84 | 295.0x | 90 | 48% |
| ROC 모멘텀 n=122, threshold=0.08 |
151.9% | -58.1% | 1.56 | 2.62 | 247.9x | 30 | 45% |
| Donchian 채널 돌파 entryN=86, exitN=39 |
140.2% | -58.1% | 1.54 | 2.41 | 186.9x | 10 | 34% |
| SMA 크로스오버 fast=13, slow=129 |
137.8% | -56.2% | 1.47 | 2.45 | 175.9x | 20 | 48% |
| EMA 크로스오버 fast=19, slow=153 |
134.9% | -59.9% | 1.46 | 2.25 | 163.5x | 14 | 47% |
| ADX / DI 방향성 period=22, threshold=15 |
121.5% | -74.7% | 1.43 | 1.63 | 115.3x | 92 | 35% |
| Parabolic SAR step=0.025, maxStep=0.14 |
110.3% | -70.7% | 1.33 | 1.56 | 84.6x | 178 | 49% |
| Buy and hold | 67.8% | -96.3% | 1.02 | 0.70 | 22.0x | 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 28-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 28-day middle average