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 136-day average
- Sell — Sell (to cash) when the 1-day average falls below the 136-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=136 |
48.3% | 42.7% | -39.5% | -86.8% | 1.26 | 49 | 50% |
| Ethereum fast=2, slow=51 |
89.3% | 28.7% | -54.2% | -95.6% | 1.44 | 110 | 51% |
| XRP (Ripple) fast=3, slow=8 |
83.5% | 26.8% | -62.4% | -95.9% | 1.12 | 429 | 45% |
| Samsung Electronics fast=21, slow=82 |
12.6% | 14.2% | -46.3% | -64.8% | 0.58 | 80 | 57% |
| Apple (AAPL) fast=6, slow=82 |
17.5% | 18.8% | -70.1% | -82.2% | 0.68 | 257 | 62% |
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.