Trend-Following Backtester · Guide · backtest 한국어
equity · US
Soluna Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Soluna Holdings, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -23.1%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.5%, MDD -98.1%, Sharpe 0.35, 24% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.5%, MDD -96.0%, exposure 10%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=11, threshold=27 |
-0.5% | -98.1% | 0.35 | -0.01 | 0.9x | 300 | 24% |
| Supertrend period=13, mult=4.5 |
-10.1% | -99.9% | 0.34 | -0.10 | 0.1x | 87 | 47% |
| Donchian 채널 돌파 entryN=112, exitN=47 |
-1.1% | -94.5% | 0.31 | -0.01 | 0.7x | 32 | 33% |
| EMA 크로스오버 fast=21, slow=79 |
-2.6% | -98.4% | 0.30 | -0.03 | 0.5x | 94 | 36% |
| SMA 크로스오버 fast=52, slow=201 |
-1.4% | -91.0% | 0.30 | -0.02 | 0.7x | 30 | 36% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
2.5% | -96.0% | 0.29 | 0.03 | 1.9x | 70 | 10% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=23, mult=2.2 |
-1.6% | -98.6% | 0.26 | -0.02 | 0.6x | 112 | 17% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-15.7% | -100.0% | 0.25 | -0.16 | 0.0x | 401 | 44% |
| ROC 모멘텀 n=116, threshold=0.06 |
-15.9% | -99.8% | 0.12 | -0.16 | 0.0x | 325 | 36% |
| MACD fast=19, slow=44, signal=19 |
-39.5% | -100.0% | 0.02 | -0.39 | 0.0x | 316 | 53% |
| Buy and hold | -23.1% | -100.0% | 0.46 | -0.23 | 0.0x | 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, 11-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)