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 154.5%, MDD -51.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 76.4%, drawdown -96.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 166.1%, MDD -54.7%, Sharpe 1.69, 37% exposure.
CAGR reference leader: MACD — CAGR 178.7%, MDD -70.6%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 89.7%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 154.5%, 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 |
166.1% | -54.7% | 1.69 | 3.04 | 374.5x | 75 | 37% |
| MACD fast=17, slow=27, signal=19 |
178.7% | -70.6% | 1.66 | 2.53 | 495.4x | 85 | 55% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=19, mult=1.2 |
154.5% | -51.3% | 1.66 | 3.01 | 285.3x | 67 | 33% |
| Supertrend period=11, mult=1.8 |
168.3% | -56.1% | 1.62 | 3.00 | 392.8x | 91 | 48% |
| Donchian 채널 돌파 entryN=86, exitN=39 |
143.5% | -58.1% | 1.56 | 2.47 | 218.8x | 11 | 35% |
| ROC 모멘텀 n=122, threshold=0.08 |
152.3% | -58.1% | 1.56 | 2.62 | 271.3x | 31 | 45% |
| SMA 크로스오버 fast=13, slow=129 |
138.4% | -56.2% | 1.48 | 2.46 | 192.5x | 21 | 48% |
| EMA 크로스오버 fast=19, slow=153 |
134.4% | -59.9% | 1.46 | 2.24 | 173.7x | 15 | 46% |
| ADX / DI 방향성 period=22, threshold=15 |
121.7% | -74.7% | 1.44 | 1.63 | 123.9x | 93 | 35% |
| Parabolic SAR step=0.025, maxStep=0.14 |
114.6% | -70.7% | 1.35 | 1.62 | 101.8x | 181 | 49% |
| Buy and hold | 76.4% | -96.3% | 1.06 | 0.79 | 31.1x | 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