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 볼린저 밴드 돌파 (CAGR 69.1%, MDD -35.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.0%, drawdown -96.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 69.1%, MDD -35.6%, Sharpe 1.44, 18% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 76.0%p higher than buy and hold, while drawdown improves by 60.5%p (CAGR 69.1%, MDD -35.6%, exposure 18%).
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=8, k=2.1 |
69.1% | -35.6% | 1.44 | 1.94 | 12.9x | 61 | 18% |
| Supertrend period=7, mult=1.4 |
66.3% | -54.9% | 1.17 | 1.21 | 11.9x | 101 | 46% |
| ADX / DI 방향성 period=40, threshold=21 |
42.1% | -41.2% | 1.14 | 1.02 | 5.6x | 8 | 12% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=25, mult=1.2 |
50.7% | -52.9% | 1.12 | 0.96 | 7.4x | 63 | 27% |
| Parabolic SAR step=0.04, maxStep=0.18 |
61.2% | -49.7% | 1.10 | 1.23 | 10.2x | 199 | 50% |
| MACD fast=14, slow=40, signal=15 |
59.6% | -64.9% | 1.06 | 0.92 | 9.8x | 69 | 53% |
| ROC 모멘텀 n=124, threshold=0.14 |
44.8% | -42.4% | 1.02 | 1.06 | 6.1x | 30 | 34% |
| Donchian 채널 돌파 entryN=110, exitN=70 |
45.8% | -46.4% | 1.01 | 0.99 | 6.3x | 5 | 39% |
| SMA 크로스오버 fast=9, slow=126 |
45.9% | -47.8% | 1.00 | 0.96 | 6.3x | 15 | 39% |
| EMA 크로스오버 fast=4, slow=201 |
42.0% | -46.1% | 0.96 | 0.91 | 5.5x | 15 | 36% |
| Buy and hold | -7.0% | -96.1% | 0.35 | -0.07 | 0.7x | 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 8-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 8-day middle average