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 5-day EMA crosses above the 30-day EMA
- Sell — Sell when the 5-day EMA falls below the 30-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=5, slow=30 |
73.5% | 42.7% | -57.6% | -86.8% | 1.49 | 104 | 52% |
| Ethereum fast=12, slow=17 |
91.4% | 28.7% | -49.9% | -95.6% | 1.45 | 106 | 50% |
| XRP (Ripple) fast=3, slow=7 |
74.3% | 26.8% | -64.9% | -95.9% | 1.05 | 372 | 43% |
| Samsung Electronics fast=46, slow=103 |
10.2% | 14.2% | -45.3% | -64.8% | 0.49 | 56 | 61% |
| Apple (AAPL) fast=3, slow=137 |
17.9% | 18.8% | -78.2% | -82.2% | 0.69 | 227 | 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.