Trend-Following Backtester · Guide · Strategies 한국어
Strategies
ROC momentum
Rides the trend when recent return (momentum) over a window is above a threshold.
The rules
- Buy — Buy when the last 36-day return is greater than 9%
- Sell — Sell when the 36-day return drops to 9% or below
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: n, threshold. 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 n=36, threshold=0.09 |
68.6% | 42.7% | -53.6% | -86.8% | 1.52 | 138 | 36% |
| Ethereum n=12, threshold=0.14 |
56.3% | 28.7% | -39.9% | -95.6% | 1.34 | 190 | 18% |
| XRP (Ripple) n=12, threshold=0.11 |
70.2% | 26.8% | -55.8% | -95.9% | 1.06 | 204 | 18% |
| Samsung Electronics n=17, threshold=-0.15 |
13.5% | 14.2% | -53.0% | -64.8% | 0.54 | 68 | 97% |
| Apple (AAPL) n=52, threshold=0.02 |
14.3% | 18.8% | -76.0% | -82.2% | 0.60 | 613 | 57% |
When this one works
ROC momentum 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.