Trend-Following Backtester · Guide · Strategies 한국어
Strategies
SMA crossover
When the short average rises above the long average, it reads that as an uptrend starting.
The rules
- Buy — Buy when the 1-day average price crosses above the 38-day average
- Sell — Sell (to cash) when the 1-day average falls below the 38-day average
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=1, slow=38 |
76.1% | 43.7% | -59.7% | -86.8% | 1.53 | 163 | 51% |
| Ethereum fast=6, slow=32 |
90.9% | 30.2% | -49.0% | -95.6% | 1.44 | 109 | 49% |
| XRP (Ripple) fast=1, slow=17 |
79.8% | 29.5% | -68.9% | -95.9% | 1.08 | 341 | 43% |
| Samsung Electronics fast=28, slow=85 |
13.0% | 15.0% | -42.9% | -64.8% | 0.59 | 72 | 58% |
| Apple (AAPL) fast=6, slow=80 |
17.2% | 18.6% | -73.8% | -82.2% | 0.67 | 253 | 61% |
When this one works
SMA 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.