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; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 76.3%, MDD -37.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.6%, drawdown -96.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 92.0%, MDD -50.8%, Sharpe 1.34, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 87.3%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 76.3%, MDD -37.7%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.04, maxStep=0.22 |
92.0% | -50.8% | 1.34 | 1.81 | 25.2x | 192 | 48% |
| 볼린저 밴드 돌파 n=9, k=1.9 |
76.3% | -37.7% | 1.30 | 2.03 | 16.5x | 110 | 27% |
| Supertrend period=8, mult=2.3 |
82.4% | -64.2% | 1.25 | 1.28 | 19.6x | 56 | 48% |
| ROC 모멘텀 n=27, threshold=-0.01 |
67.1% | -44.1% | 1.15 | 1.52 | 12.7x | 110 | 49% |
| ADX / DI 방향성 period=19, threshold=19 |
52.1% | -54.6% | 1.07 | 0.95 | 8.0x | 60 | 30% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=15, mult=1.4 |
47.7% | -40.6% | 1.04 | 1.17 | 6.9x | 60 | 23% |
| Donchian 채널 돌파 entryN=107, exitN=72 |
47.4% | -47.9% | 1.03 | 0.99 | 6.8x | 4 | 38% |
| MACD fast=19, slow=31, signal=16 |
49.4% | -74.8% | 0.95 | 0.66 | 7.3x | 62 | 53% |
| SMA 크로스오버 fast=8, slow=125 |
38.7% | -47.4% | 0.89 | 0.82 | 5.0x | 18 | 39% |
| EMA 크로스오버 fast=53, slow=207 |
36.1% | -59.6% | 0.87 | 0.61 | 4.6x | 4 | 34% |
| Buy and hold | 4.6% | -96.0% | 0.49 | 0.05 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots