Trend-Following Backtester · Guide · Strategies 한국어
Strategies
EMA crossover
Uses two exponential averages (more weight on recent prices) and trades their crossover.
The rules
- Buy — Buy when the 4-day EMA crosses above the 120-day EMA
- Sell — Sell when the 4-day EMA falls below the 120-day EMA
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: fast, slow. Fewer knobs make it harder to fit noise, so a count this low keeps overfitting risk relatively contained.
Results by asset
The same strategy across 5 very different assets, each over its full history, with parameters optimized per asset. It beat buy and hold on 3 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin fast=4, slow=120 |
51.8% | 43.7% | -39.8% | -86.8% | 1.32 | 41 | 50% |
| Ethereum fast=7, slow=25 |
93.0% | 30.2% | -46.5% | -95.6% | 1.46 | 103 | 50% |
| XRP (Ripple) fast=3, slow=6 |
83.7% | 29.5% | -73.5% | -95.9% | 1.11 | 405 | 43% |
| Samsung Electronics fast=56, slow=82 |
12.3% | 15.0% | -45.1% | -64.8% | 0.56 | 55 | 61% |
| Apple (AAPL) fast=3, slow=130 |
17.5% | 18.6% | -79.3% | -82.2% | 0.68 | 237 | 64% |
When this one works
EMA crossover belongs to the trend-following family. All of them earn in sustained directional moves and bleed costs in range-bound markets. The trade count and time in market columns above show how each variant leans.