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 81.8%, MDD -37.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.9%, drawdown -96.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 100.9%, MDD -50.8%, Sharpe 1.41, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 90.1%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 81.8%, MDD -37.7%, exposure 28%).
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 |
100.9% | -50.8% | 1.41 | 1.99 | 33.6x | 196 | 48% |
| 볼린저 밴드 돌파 n=9, k=1.9 |
81.8% | -37.7% | 1.35 | 2.17 | 20.3x | 113 | 28% |
| Supertrend period=8, mult=2.3 |
88.8% | -64.2% | 1.30 | 1.38 | 24.6x | 57 | 48% |
| ROC 모멘텀 n=27, threshold=-0.01 |
73.2% | -44.1% | 1.21 | 1.66 | 15.9x | 111 | 49% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=15, mult=1.4 |
53.4% | -40.6% | 1.12 | 1.31 | 8.6x | 61 | 24% |
| ADX / DI 방향성 period=19, threshold=19 |
53.2% | -54.6% | 1.09 | 0.97 | 8.6x | 61 | 30% |
| MACD fast=19, slow=31, signal=16 |
56.3% | -74.8% | 1.03 | 0.75 | 9.5x | 63 | 53% |
| Donchian 채널 돌파 entryN=107, exitN=72 |
44.9% | -47.9% | 1.00 | 0.94 | 6.5x | 5 | 38% |
| SMA 크로스오버 fast=8, slow=125 |
39.9% | -47.4% | 0.90 | 0.84 | 5.4x | 19 | 39% |
| EMA 크로스오버 fast=53, slow=207 |
35.4% | -59.6% | 0.86 | 0.59 | 4.6x | 4 | 33% |
| Buy and hold | 10.9% | -96.0% | 0.56 | 0.11 | 1.7x | 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