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 (16/18) crosses above its 17-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=16, slow=18, signal=17 |
62.2% | 43.7% | -59.0% | -86.8% | 1.34 | 159 | 52% |
| Ethereum fast=31, slow=38, signal=16 |
96.9% | 30.2% | -69.0% | -95.6% | 1.48 | 99 | 52% |
| XRP (Ripple) fast=9, slow=59, signal=10 |
100.0% | 29.5% | -64.7% | -95.9% | 1.23 | 191 | 49% |
| Samsung Electronics fast=31, slow=109, signal=57 |
13.8% | 15.0% | -41.0% | -64.8% | 0.64 | 112 | 53% |
| Apple (AAPL) fast=16, slow=58, signal=23 |
10.1% | 18.6% | -65.5% | -82.2% | 0.48 | 454 | 52% |
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.