Trend-Following Backtester · Guide · Strategies 한국어
Strategies
EMA crossover
Uses two exponential averages (more weight on recent prices) and trades their crossover.
The rules
- Buy — Buy when the 3-day EMA crosses above the 25-day EMA
- Sell — Sell when the 3-day EMA falls below the 25-day EMA
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=3, slow=25 |
70.7% | 41.2% | -57.6% | -86.8% | 1.46 | 156 | 51% |
| Ethereum fast=5, slow=26 |
85.9% | 27.1% | -51.4% | -95.6% | 1.39 | 121 | 50% |
| XRP (Ripple) fast=8, slow=11 |
67.3% | 25.7% | -62.5% | -95.9% | 1.00 | 168 | 41% |
| Samsung Electronics fast=33, slow=36 |
11.8% | 14.2% | -45.6% | -64.8% | 0.55 | 104 | 57% |
| Apple (AAPL) fast=5, slow=149 |
17.9% | 18.8% | -85.8% | -82.2% | 0.69 | 183 | 64% |
When this one works
EMA 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.