Trend-Following Backtester · Guide · Strategies 한국어
Strategies
MACD
Looks at the gap (MACD) between a short and long average crossing its own signal line.
The rules
- Buy — Buy when the MACD line (15/41) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 3 tunable values: fast, slow, signal. 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=15, slow=41, signal=12 |
55.0% | 42.7% | -55.9% | -86.8% | 1.25 | 154 | 52% |
| Ethereum fast=28, slow=36, signal=22 |
99.4% | 28.7% | -65.8% | -95.6% | 1.50 | 94 | 53% |
| XRP (Ripple) fast=14, slow=44, signal=10 |
96.8% | 26.8% | -60.1% | -95.9% | 1.20 | 162 | 50% |
| Samsung Electronics fast=41, slow=127, signal=38 |
14.1% | 14.2% | -39.0% | -64.8% | 0.65 | 112 | 52% |
| Apple (AAPL) fast=15, slow=93, signal=49 |
18.2% | 18.8% | -53.3% | -82.2% | 0.72 | 301 | 53% |
When this one works
MACD 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.