Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SOL 200TR backtest
10 trend-following strategies were compared on the full daily history of SOL 200TR. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.8%, MDD -21.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.1%, drawdown -40.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.8%, MDD -21.1%, Sharpe 0.98, 60% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.2%, MDD -40.7%, exposure 59%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 18.8%, MDD -21.1%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=6, slow=45 |
18.8% | -21.1% | 0.98 | 0.89 | 4.1x | 54 | 60% |
| Supertrend period=29, mult=5 |
15.6% | -29.5% | 0.89 | 0.53 | 3.3x | 30 | 56% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=2 |
15.3% | -29.4% | 0.89 | 0.52 | 3.2x | 46 | 46% |
| SMA 크로스오버 fast=35, slow=103 |
19.2% | -40.7% | 0.88 | 0.47 | 4.3x | 11 | 59% |
| Donchian 채널 돌파 entryN=20, exitN=33 |
17.2% | -32.6% | 0.88 | 0.53 | 3.7x | 32 | 63% |
| MACD fast=18, slow=54, signal=19 |
14.0% | -29.1% | 0.85 | 0.48 | 3.0x | 72 | 53% |
| 볼린저 밴드 돌파 n=47, k=3.2 |
9.4% | -20.2% | 0.83 | 0.46 | 2.1x | 4 | 10% |
| ROC 모멘텀 n=55, threshold=0 |
16.1% | -29.9% | 0.83 | 0.54 | 3.4x | 84 | 59% |
| ADX / DI 방향성 period=34, threshold=15 |
11.2% | -22.5% | 0.71 | 0.50 | 2.4x | 32 | 28% |
| Parabolic SAR step=0.03, maxStep=0.12 |
4.8% | -46.7% | 0.37 | 0.10 | 1.5x | 172 | 55% |
| Buy and hold | 18.1% | -40.7% | 0.77 | 0.45 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 6-day EMA crosses above the 45-day EMA
- Sell — Sell when the 6-day EMA falls below the 45-day EMA