Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
SOL backtest
10 trend-following strategies were compared on the full daily history of SOL. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 124.5%, MDD -55.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 82.6%, drawdown -96.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 173.8%, MDD -63.7%, Sharpe 1.66, 45% exposure.
CAGR reference leader: Supertrend — CAGR 177.0%, MDD -69.1%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 91.3%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 124.5%, MDD -55.8%, exposure 21%).
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=0.005, maxStep=0.16 |
173.8% | -63.7% | 1.66 | 2.73 | 388.7x | 59 | 45% |
| 볼린저 밴드 돌파 n=28, k=1.2 |
165.0% | -62.2% | 1.62 | 2.65 | 320.4x | 75 | 37% |
| Supertrend period=13, mult=1.7 |
177.0% | -69.1% | 1.62 | 2.56 | 416.3x | 97 | 48% |
| ROC 모멘텀 n=119, threshold=0.07 |
167.7% | -57.1% | 1.60 | 2.94 | 340.3x | 27 | 45% |
| MACD fast=20, slow=51, signal=18 |
160.7% | -83.5% | 1.56 | 1.93 | 290.7x | 65 | 52% |
| ADX / DI 방향성 period=17, threshold=8 |
154.4% | -67.3% | 1.53 | 2.29 | 251.5x | 135 | 48% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=24, mult=2.2 |
124.5% | -55.8% | 1.52 | 2.23 | 119.8x | 39 | 21% |
| Donchian 채널 돌파 entryN=77, exitN=77 |
150.7% | -60.5% | 1.50 | 2.49 | 230.4x | 7 | 50% |
| SMA 크로스오버 fast=13, slow=116 |
129.4% | -63.0% | 1.40 | 2.05 | 136.4x | 29 | 48% |
| EMA 크로스오버 fast=27, slow=74 |
123.1% | -70.3% | 1.37 | 1.75 | 115.7x | 27 | 48% |
| Buy and hold | 82.6% | -96.3% | 1.09 | 0.86 | 35.3x | 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