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 34-day return is greater than 13%
- Sell — Sell when the 34-day return drops to 13% 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=34, threshold=0.13 |
66.8% | 43.7% | -54.3% | -86.8% | 1.54 | 110 | 29% |
| Ethereum n=34, threshold=0.04 |
76.4% | 30.2% | -67.5% | -95.6% | 1.32 | 147 | 46% |
| XRP (Ripple) n=12, threshold=0.07 |
80.9% | 29.5% | -58.8% | -95.9% | 1.12 | 247 | 25% |
| Samsung Electronics n=18, threshold=-0.14 |
13.3% | 15.0% | -56.5% | -64.8% | 0.54 | 93 | 97% |
| Apple (AAPL) n=39, threshold=-0.04 |
15.9% | 18.6% | -83.2% | -82.2% | 0.61 | 561 | 70% |
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.